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The TG2 Options Volume 1: Products, Pricing, and Structuring book is the core volume in the Options set. It is unique in its approach. The entire presentation is from the perspective of "running your business", be it trading, sales, structuring, risk management, treasurer, etc. Focused on P&L and "why and how" the products exist and are used is constantly enforced so that trading, structuring, valuation and risk calculations are couched, first, in the "why" are we doing this, and then in the "how and how much" trading/rebalancing/risk.
Part I: focuses primarily on the options business and also on "economic need" and "end use" for options and structured products. This material details the risk/return characteristics of a wide range of vanilla, exotic, and complex/hybrid options, as well as basic structuring to achieve client/investor or hedging needs. There is also much discussion of many real world idiosyncrasies. In addition, Part I includes all of the basic tools for risk/return concepts, as required for day-to-day operations for market professionals.
Part II: provides detailed pricing, risk, and product description and calculations ... as required on a real trading floor, not simply what an academic needs to know. The detailed treatment includes a down-to-Earth derivation of the key market convention formulations, and the "underlying models". The material is presented to include both a "trader's" version, as well as a "quant's" version of the details to permit traders to focus on the important meaning and properties of the formulations. As always, much reality impact is included to illustrate where/why the theory departs from reality, and market convention methods for dealing with those discrepancies. While vanilla options are the primary focus, material is included for exotic and complex/hybrid products, and also for dealing with different types of issues in the usual asset classes (equity, IR, FX, commodities, etc.) The valuation and formulas are included with the accompanying software, which is used for the many worked examples. In addition, there is attention to important though less glamorous details, such as handling of liquidity, contract definitions, regulatory requirements, etc.
Part III: deals with the most important aspect of trading - position keeping. These Chapters detail many important strategies and issues impacting options positions. In addition, there are key Chapters provided for dealing with important analytics and extended volatility matters, such as cheap/deal analysis, and dealing with "different types of volatility". Part III concludes with basic portfolio considerations/management, and trade idea generation.
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TG2 Options - Vol 1: Products, Pricing, and Structuring ,
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"The material is really unique. One really feels that the authors have lived the material and have been
down in the 'trenches' - excellent and one-of-a-kind!
... Head of Prop Trading for a global trading house"
1,437 c o l o u r pages, soft cover,
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