Hoggums
Senior member
- Messages
- 2,176
- Likes
- 878
The math's is actually relatively simple 'A' level maths - suggest you go to a book shop or library and read up on it. However very few firms today price using a standard black scholes model. It assumes constant volatility - which we all know is not a fact.
Jack o'Clubs
Experienced member
- Messages
- 1,554
- Likes
- 342
Ares,
I'm not trying to be deliberately provocative, but your other thread is about a career in institutional trading. If you're struggling with the (relatively simple) maths behind Black-Scholes and binomials, which as Hoggums points out is really A-level standard at worst (or was when I did my A-levels, but standards are supposed to have gone up since then
), I would have serious doubts about the suitability of your career choice. Just being honest.
I'm not trying to be deliberately provocative, but your other thread is about a career in institutional trading. If you're struggling with the (relatively simple) maths behind Black-Scholes and binomials, which as Hoggums points out is really A-level standard at worst (or was when I did my A-levels, but standards are supposed to have gone up since then
), I would have serious doubts about the suitability of your career choice. Just being honest.You are joking right? You start a thread about what to do after you've had a career as an options market maker, and (I'm guessing?) you are about to go for your face to face interview at Optiver and you ask this?
I totally understand your suggustions and doubt.
I didn't learn Math in English and I found out some donations are different from what I know.
My numerical and analyitical is truely outstanding. I was just not interested in those big models, formulars before. It wasn't useful to me. Not knowing the theory doesn't mean I can't calculate and analyze, right? I could always just start learning them. You can learn knowledge, but not talent.
My first thread about another job after trading was stupid. I have thinking and reading a lot recently and I am so crazy about trading right now. I wish I could delete that thread, but I simply can't. Anyway, I do appreciate your imputs.
I didn't learn Math in English and I found out some donations are different from what I know.
My numerical and analyitical is truely outstanding. I was just not interested in those big models, formulars before. It wasn't useful to me. Not knowing the theory doesn't mean I can't calculate and analyze, right? I could always just start learning them. You can learn knowledge, but not talent.
My first thread about another job after trading was stupid. I have thinking and reading a lot recently and I am so crazy about trading right now. I wish I could delete that thread, but I simply can't. Anyway, I do appreciate your imputs.
Jack o'Clubs
Experienced member
- Messages
- 1,554
- Likes
- 342
fair enough. try something like this, or various similar publications:
http://www.amazon.co.uk/Mastering-F...5390818?ie=UTF8&s=books&qid=1193941342&sr=8-1
there's a financial bookshop on Bishopsgate (I forget its name) which might be worth a browse.
EDIT: I've just received a PM from a certain highly respected member pointing out that the Bishopsgate bookshop ain't there no more. Not surprised when Amazon sells these things half price...
http://www.amazon.co.uk/Mastering-F...5390818?ie=UTF8&s=books&qid=1193941342&sr=8-1
there's a financial bookshop on Bishopsgate (I forget its name) which might be worth a browse.
EDIT: I've just received a PM from a certain highly respected member pointing out that the Bishopsgate bookshop ain't there no more. Not surprised when Amazon sells these things half price...
Last edited:
Ares,
Lacking even an "O" level in maths (unlike some of the swots here), I learned about the Black-Scholes model by building my own model in a spreadsheet and looking how the various elements interacted and reacted to changes in the inputs.
It took a long time (self-tuition, very inefficient) before I fully undestood probability density functions,etc. And then, I had to refer to 4 or 5 books to cross-reference, clarify and elaborate on various aspects.
The attached Word doc will show you how to build a model in Excel (it ewas writtten a long time ago. Iteration for the implied is brief (incomplete) but just "iterate".
Regarding the binomial model in Excel - forget it, life's too short.
Grant.
Lacking even an "O" level in maths (unlike some of the swots here), I learned about the Black-Scholes model by building my own model in a spreadsheet and looking how the various elements interacted and reacted to changes in the inputs.
It took a long time (self-tuition, very inefficient) before I fully undestood probability density functions,etc. And then, I had to refer to 4 or 5 books to cross-reference, clarify and elaborate on various aspects.
The attached Word doc will show you how to build a model in Excel (it ewas writtten a long time ago. Iteration for the implied is brief (incomplete) but just "iterate".
Regarding the binomial model in Excel - forget it, life's too short.
Grant.
.....I know what you mean.....I buy books,,,,download materials...collect some info.....for holiday read or when I get free time to read....but these never happen.....and these pile up......My library is going to explode...!
...I wanted to do same excercise in excel with my VERY limited knowledge about the Black Scholes etc - just interested.....and then someone pointed me to followig site and that was it....I am sure many on this site know about this one.....
http://www.hoadley.net/options/options.htm
...I wanted to do same excercise in excel with my VERY limited knowledge about the Black Scholes etc - just interested.....and then someone pointed me to followig site and that was it....I am sure many on this site know about this one.....
http://www.hoadley.net/options/options.htm
Zambuck,
I mentioned this elsewhere but it's worth repeating:
www.gummy-stuff.org
Loads of Excel sheets, everything you wanted to know about everything (almost).
Grant.
I mentioned this elsewhere but it's worth repeating:
www.gummy-stuff.org
Loads of Excel sheets, everything you wanted to know about everything (almost).
Grant.
