Rondanini

Financial Library

Derivatives and Pricing Foundations

Foundational pricing, models, and practitioner classics.

15 books in order

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Classic

Derivatives Markets

Robert L. McDonald · 2012 · Pearson

Rigorous alternative framing to core derivatives curricula.

  • Derivatives
  • Quantitative finance
Classic

Dynamic Hedging

Nassim Nicholas Taleb · 1997 · John Wiley & Sons

Options trading and hedging from a practitioner’s perspective.

  • Derivatives
  • Risk management
Classic

Financial Calculus

Martin Baxter · Andrew Rennie · 1996 · Cambridge University Press

Martingale approach to derivative pricing.

  • Derivatives
  • Quantitative finance

Option Volatility and Pricing: Advanced Trading Strategies and Techniques

Updated Edition

Sheldon Natenberg · 2015 · McGraw-Hill

Sheldon Natenberg's 'Option Volatility and Pricing' is an essential resource for practitioners in the fields of FX and derivatives trading. This updated edition provides advanced trading strategies and risk management techniques crucial for navigating the complexities of option markets.

  • FX
  • Derivatives
  • Risk management

The Complete Guide to Option Pricing Formulas

2nd Edition

Espen Gaarder Haug · 2007 · McGraw-Hill

The Complete Guide to Option Pricing Formulas provides an extensive examination of option pricing methodologies, featuring a comprehensive collection of formulas essential for traders and analysts. This second edition includes practical tools such as VBA code and Excel spreadsheets to facilitate the application of these formulas in real-world scenarios.

  • Derivatives
  • Quantitative finance

The Volatility Surface: A Practitioner's Guide

Jim Gatheral · 2006 · John Wiley & Sons

The Volatility Surface: A Practitioner's Guide by Jim Gatheral delves into the complexities of the implied volatility surface, offering insights crucial for pricing and hedging derivatives. This work is particularly relevant for professionals engaged in FX and quantitative finance, as it bridges theoretical models with practical applications in the financial markets.

  • FX
  • Derivatives
  • Quantitative finance

Paul Wilmott on Quantitative Finance

2nd Edition (3-volume set)

Paul Wilmott · 2006 · John Wiley & Sons

Paul Wilmott on Quantitative Finance is a comprehensive three-volume set that delves into the intricacies of derivatives and financial engineering. The work covers fundamental mathematical tools, risk management, and advanced numerical methods, making it essential for professionals in quantitative finance.

  • Derivatives
  • Quantitative finance
Classic

The Mathematics of Financial Derivatives

A Student Introduction

Paul Wilmott et al. · 1995 · Cambridge University Press

Cambridge undergraduate-style path from binomial trees through Black–Scholes PDEs, hedging arguments, and basic numerical ideas—tighter and more applied than a pure analysis text, ideal as a mathematical spine behind introductory derivatives courses.

  • Derivatives
  • Quantitative finance

Modern Computational Finance

AAD and Parallel Simulations

Antoine Savine · Leif B. G. Andersen · 2018 · John Wiley & Sons

Institutional quant text on algorithmic adjoint differentiation (AAD), parallel Monte Carlo, and implementation-minded pricing/risk—written by practitioners who shipped large bank systems. Pairs naturally with scripting and xVA volumes for a full modern computational stack.

  • Derivatives
  • Risk management
  • Quantitative finance

Modern Computational Finance

Scripting for Derivatives and xVA

Antoine Savine · Jesper Andreasen · 2021 · John Wiley & Sons

Second volume: building professional derivative scripting systems—cash-flow representation, branching, American Monte Carlo hooks, and how scripting supports xVA-style portfolio interrogation. Written for quant devs and library architects who must ship maintainable payoff DSLs.

  • Derivatives
  • Risk management
  • Quantitative finance
Classic

Modelling Single-name and Multi-name Credit Derivatives

Dominic O'Kane · 2008 · John Wiley & Sons

Institutional quant reference on single-name CDS, indices, tranches, and portfolio credit—written from a pre-crisis dealer desk vantage that still shapes how correlation and skew are discussed, even where post-2008 conventions and liquidity have moved on.

  • Derivatives
  • Quantitative finance
  • Credit
Classic

Option Market Making

Trading and Risk Analysis for the Financial and Commodity Option Markets

Allen Jan Baird · 1992 · John Wiley & Sons

Floor-era option market-making primer: how professional liquidity providers thought about inventory, bid–ask, and spread risk before electronic and HFT dominance—valuable for microstructure intuition, not a handbook for today’s electronic vol markets.

  • Market microstructure
  • Derivatives

Options as a Strategic Investment

5th Edition

Lawrence G. McMillan · 2012 · Prentice Hall

Options as a Strategic Investment is a comprehensive guide for practitioners in the derivatives market, focusing on the strategic use of options in investment portfolios. The book covers various strategies, risk management techniques, and the underlying principles of options trading, making it essential for traders, analysts, and portfolio managers.

  • Derivatives