- FX
- Equities
- Fixed income
- Credit derivatives
- Commodities
- Hybrids
- Power/energy
FX is short for foreign exchange. Contracts tend to be short-dated with high volume and simple specifications. Emphasis is therefore on speed and smilemodelling.
Equities means options on stocks and indices. Techniques tend to be PDE based with the local vol model being popular. A typical contract is a note paying some function of the stock price path. Not a particularly big market.
Fixed incomemeans interest rate derivatives. This is probably the biggest area by value. The maths is more complex because the underlying is multi-dimensional. Martingale techniques are used a lot. It’s well paid.
Credit derivatives are derivatives that pay-off according to the defaults of corporate entities. This was a big growth area with lots of demand translating into very high pay. It displayed some bubble-like characteristics,
however, and the bubble has now burst.
Equities means options on stocks and indices. Techniques tend to be PDE based with the local vol model being popular. A typical contract is a note paying some function of the stock price path. Not a particularly big market.
Fixed incomemeans interest rate derivatives. This is probably the biggest area by value. The maths is more complex because the underlying is multi-dimensional. Martingale techniques are used a lot. It’s well paid.
Credit derivatives are derivatives that pay-off according to the defaults of corporate entities. This was a big growth area with lots of demand translating into very high pay. It displayed some bubble-like characteristics,
however, and the bubble has now burst.
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