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Derivatives & Options

Professional website about Algorithmic Trading and Market Microstructure

My research activities as Ph.D. candidate are only focused on market microstructure of Foreign Exchange Market (FOREX). However, I still have interest in derivatives especially concerning non-linear products such as options. Readers should already have a strong background on derivatives and I suggest to read some tutorials if you feel that you need extra help to understand a specific concept.

For motivated readers, there are ton of good books on derivatives and options. As an introduction, the book of John C. Hull is a must read. In addition, the book of Nassim Nicholas Taleb called “Dynamic Hedging: Managing Vanilla and Exotic Options” gives a practical point of view about risk management of options.