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> but these days for most people there’s little to no new maths. You are right. For most people there's little to no new maths. But not for all. There's still

> but these days for most people there’s little to no new maths. You are right. For most people there's little to no new maths. But not for all. There's still plenty of good quality math to be done in the exotics space. However, there's a bit of Catch 22 that prevents people from doing new math: all the big shops have had exotics libraries since before 2008, and because of the exotics hiatus between about 2008 and maybe 2013, the research momentum was lost. After that, most quants in the space were happy to find ways to use the old stuff, and apply small tweaks at the margins. Most small shops use vendor models (Numerix, Murex) or open source (QuantLib), and people who use vendor solutions or open source are not looking for cutting edge stuff. But there's still good math left out there.

bmitc 9mo ago
What is being meant by exotics in this discussion?
- e-master 9mo ago
  I assume exotic derivatives (binary, asian, barrier options...) and structured notes that predominantly use above said derivatives (autocallables, barrier reverse convertibles, accumulators etc.)
  - bmitc 9mo ago
    Thank you. No matter how much I try to understand the financial system, there seems no end to the nomenclature. Do you or others know of any good references that help navigate this?
    - lordnacho 9mo ago
      Options, Futures, and Other Derivatives by Hull, that's the classic. Not sure how exotic he gets but likely the page that sells this book will have other options books. I think there's one by Espen Hauge about exotics. Relevant book by Nassim Taleb (before his big break) is Dynamic Hedging, which tells you what to do with your option risk once you have it.
    - e-master 9mo ago
      Really depends how deep you want to go. For a structured products introduction you may take a look at this one: https://sspa.ch/en/book/ https://sspa.ch/en/book/ It's a very simple book, very high level, but explains the most popular structured products in a very simple manner. If you can read a payoff diagram, then this is the simplest intro. Looking at their website though, they seem to have some nice online material there also. For example this explains the 5 most popular products, and perhaps that's good enough for an introduction (really these 5 products cover 90% of the market anyway, though there's no limit to how exotic some bespoke structures can get): https://sspa.ch/en/lab/?underlying=CH0012221716&final_fixing=36&strike=100&protection_level=90&state=selection&product=capital_protection https://sspa.ch/en/lab/?underlying=CH0012221716&final_fixing... In case you're interested in getting to get to learn about them on a deeper level I would recommend https://www.amazon.com/Exotic-Options-Hybrids-Structuring-Pricing/dp/0470688033 https://www.amazon.com/Exotic-Options-Hybrids-Structuring-Pr.... This book explains not only the products, but also the pricing dynamics and hedging too. And just a small gem I found recently about volatility trading:https://www.ebay.co.uk/itm/306680584072?chn=ps&_ul=GB&_trkparms=ispr%3D1&amdata=enc%3A1lAP7IxCzQlCBWexbpOKLyA32&norover=1&mkevt=1&mkrid=710-169684-232771-8&mkcid=2&itemid=306680584072&targetid=325425753764&device=m&mktype=pla&googleloc=9188311&poi=&campaignid=20646531776&mkgroupid=160183588928&rlsatarget=pla-325425753764&abcId=&merchantid=101729981&gad_source=1&gad_campaignid=20646531776&gbraid=0AAAAAo9ZJxtYm_3xAIz1Q12hoG3f9wG_D&gclid=Cj0KCQiA-NHLBhDSARIsAIhe9X3RVfNm9IocZmzP0LgTr0yoLJ9doTH4PHn0mgHmn0OqZPQhcIyufeoaAgJVEALw_wcB https://www.ebay.co.uk/itm/306680584072?chn=ps&_ul=GB&_trkpa... Despite its appalling Amazon reviews I consider this book to be a real gem when it comes to the introduction to vol trading (basically dynamic hedging of equity derivatives)
    - fancyfredbot 9mo ago
      Patrick Boyle, early in his YouTube career, made some videos on exotic options. This is a lot more engaging and possibly more informative than reading Hull. https://youtube.com/playlist?list=PLHC72UlhAthBEEAhoQwPdDaL_mF9z5u9L&si=AYAzApWNzqllpDW9 https://youtube.com/playlist?list=PLHC72UlhAthBEEAhoQwPdDaL_...

bmitc 9mo ago

What is being meant by exotics in this discussion?

e-master 9mo ago
I assume exotic derivatives (binary, asian, barrier options...) and structured notes that predominantly use above said derivatives (autocallables, barrier reverse convertibles, accumulators etc.)
- bmitc 9mo ago
  Thank you. No matter how much I try to understand the financial system, there seems no end to the nomenclature. Do you or others know of any good references that help navigate this?
  - lordnacho 9mo ago
    Options, Futures, and Other Derivatives by Hull, that's the classic. Not sure how exotic he gets but likely the page that sells this book will have other options books. I think there's one by Espen Hauge about exotics. Relevant book by Nassim Taleb (before his big break) is Dynamic Hedging, which tells you what to do with your option risk once you have it.
  - e-master 9mo ago
    Really depends how deep you want to go. For a structured products introduction you may take a look at this one: https://sspa.ch/en/book/ https://sspa.ch/en/book/ It's a very simple book, very high level, but explains the most popular structured products in a very simple manner. If you can read a payoff diagram, then this is the simplest intro. Looking at their website though, they seem to have some nice online material there also. For example this explains the 5 most popular products, and perhaps that's good enough for an introduction (really these 5 products cover 90% of the market anyway, though there's no limit to how exotic some bespoke structures can get): https://sspa.ch/en/lab/?underlying=CH0012221716&final_fixing=36&strike=100&protection_level=90&state=selection&product=capital_protection https://sspa.ch/en/lab/?underlying=CH0012221716&final_fixing... In case you're interested in getting to get to learn about them on a deeper level I would recommend https://www.amazon.com/Exotic-Options-Hybrids-Structuring-Pricing/dp/0470688033 https://www.amazon.com/Exotic-Options-Hybrids-Structuring-Pr.... This book explains not only the products, but also the pricing dynamics and hedging too. And just a small gem I found recently about volatility trading:https://www.ebay.co.uk/itm/306680584072?chn=ps&_ul=GB&_trkparms=ispr%3D1&amdata=enc%3A1lAP7IxCzQlCBWexbpOKLyA32&norover=1&mkevt=1&mkrid=710-169684-232771-8&mkcid=2&itemid=306680584072&targetid=325425753764&device=m&mktype=pla&googleloc=9188311&poi=&campaignid=20646531776&mkgroupid=160183588928&rlsatarget=pla-325425753764&abcId=&merchantid=101729981&gad_source=1&gad_campaignid=20646531776&gbraid=0AAAAAo9ZJxtYm_3xAIz1Q12hoG3f9wG_D&gclid=Cj0KCQiA-NHLBhDSARIsAIhe9X3RVfNm9IocZmzP0LgTr0yoLJ9doTH4PHn0mgHmn0OqZPQhcIyufeoaAgJVEALw_wcB https://www.ebay.co.uk/itm/306680584072?chn=ps&_ul=GB&_trkpa... Despite its appalling Amazon reviews I consider this book to be a real gem when it comes to the introduction to vol trading (basically dynamic hedging of equity derivatives)
  - fancyfredbot 9mo ago
    Patrick Boyle, early in his YouTube career, made some videos on exotic options. This is a lot more engaging and possibly more informative than reading Hull. https://youtube.com/playlist?list=PLHC72UlhAthBEEAhoQwPdDaL_mF9z5u9L&si=AYAzApWNzqllpDW9 https://youtube.com/playlist?list=PLHC72UlhAthBEEAhoQwPdDaL_...