Trading Vol in an IB - what are the good resources for Rates, Credit, FX, Equities? Market-makers' help greatly appreciated

Thanks a lot, will add to the collection above and will definitely read it these days!

Also, for FX vol, pretty much anything by Uwe Wystup is sorta required reading... For instance, his book "FX Options and Structured Products".

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ridersonthestorm:

Rates vol: All the general vol books you mentioned are quite good (esp dynamic hedging). More specifically, I'd try to pick out the relevant chapters of Brigo and Mercurio's book (it's a heavy read, so it will take some time). Don't skip the short-rate models (HW, etc). Also, Hagan's initial SABR paper is great - SABR (or various morphed prop versions of the initial model) are still quite popular on the street, I hear.

Overall, there's not a lot of difference b/w say FX/Equity vol and rates vol in terms of managing risk, apart from the added complications of the underlying becoming non-linear (in a swaption for instance) and added dimensional . Once you understand general vol trading ideas (like the greeks), thinking about how things change if you replace the underlying equity index with a swap would be useful (ie - how does duration effect the greeks, how does PCP change with a non-linear underlying, etc).

Another things I would bear in mind if actually joining a rates vol desk is getting used to the jargon. Thinking of puts and calls as payers and receivers, for instance, adds a couple of extra seconds to your reasoning and just slows you down initially.

Thanks a lot for the advice!