derivatives desk
how much of a math background is necessary for derivatives structuring? how difficult is it to get a position at a derivatives desk?
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a derivative
The maths ranges from elementary to fucking crazy...check out www.wilmott.com for an idea on the level of math required to work in derivatives.
Derivatives are all math geez...
Have you seen the amount of greek and calculus in advanced derivative courses!? LOL...
It's a matter of...less math...not so less math...quite a bit of math...etc...
http://www.wilmott.com/pdfs/021118_smile.pdf
This model, called the SABR model, is actually in use on the street. Note that the authors worked at Bear, BNP and SocGen at the time of its writing.
This is the kind of math that underlies derivatives pricing. Though I'll add, probably no derivative trader in the world could understand this paper, only the derivatives research folks (mostly PhD holders).
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