Rates/fx Vol Learning Sources
Hi, I’m a sophomore student majoring in math and finance from a target school in Asia. I’m currently interested towards s&t, leaning towards a rates/fx vol desk and is reading interest rate markets by Siddartha Jha as well as learning some python libraries (numpy, pandas, sklearn, etc). Could anyone recommend some further readings and projects to do? Also, where should I apply for sophomore internships as a stepping stone?
fixed income basics: Fabozzi/Tuckman
derivatives/vol stuff: Hull/Corb/Sadr/Sinclair/Burghardt
math: numerical analysis (and all the prereqs), Brigo/Mercurio (ive been told that this might be overkill but if you understand the math why not)
extra: anything from Christian Schaller and Doug Huggins/follow vol traders and zerohedge on twitter
if you just want one book: Jewitt's FX Derivatives Trader School
Papers:
- Trolle/Schwartz's The Swaption Cube
- Longstaff/o Santa-Clara/Schwartz's THE RELATIVE VALUATION OF CAPS AND SWAPTIONS THEORY AND EMPIRICAL EVIDENCE
- Hagen's MANAGING SMILE RISK
Projects ideas:
- Mess around with QuantLib
- look thru DTCC's SDR
- yield curve/vol surface interpolation viz stuff with plotly
Summer 2025 might be done for most big banks - not sure about APAC tho. Have seen some Summer 2026 stuff which is crazy early
is rate fx vol the sellside? how frequently/is it desired to move to macro hf?
Yea what Im mentioning here is sellside and from my knowledge of reading other threads, it has good hf exit opps.
Thanks so much for the recs. You mind if I DM you? yieldcurvemonkey
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