Options & DerivativesIntermediate
Options Greeks
The Options Greeks (delta, gamma, theta, vega, rho) measure the sensitivity of an option's price to changes in underlying price, time, volatility, and interest rates.
12 min read
Quant Finance Glossary
Essential concepts for quant trading, research, and interviews — explained clearly.
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6 concepts
Options & DerivativesAdvanced
Black-Scholes Model
The Black-Scholes model is a mathematical framework for pricing European-style options, providing closed-form formulas that revolutionized derivatives markets when introduced in 1973.
14 min read
Options & DerivativesIntermediate
Implied Volatility
Implied volatility is the market's forecast of future price volatility, derived by reverse-engineering the Black-Scholes model from observed option prices.
9 min read
Options & DerivativesAdvanced
Volatility Smile
The volatility smile is the observed pattern where implied volatility varies across option strike prices, forming a U-shaped curve that contradicts the constant-volatility assumption of Black-Scholes.
9 min read
Options & DerivativesAdvanced
Risk-Neutral Pricing
Risk-neutral pricing is a framework that prices derivatives by assuming all investors are risk-neutral, allowing expected payoffs to be discounted at the risk-free rate regardless of actual risk preferences.
11 min read
Options & DerivativesIntermediate
Put-Call Parity
Put-call parity is a fundamental relationship linking the prices of European call and put options with the same strike price and expiration, ensuring no-arbitrage pricing in options markets.
7 min read
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