Futures, forwards, options, swaps, and exotics across asset classes.
36 published titles · Same filter in catalogue
Curated sequences that include this topic.
Shelf notes for books in this topic.
This volume covers cross-asset hybrids and correlation products.
Introduction to Derivatives and Risk Management
This book provides an introductory overview of derivatives markets and risk management.
Exotic Options: A Guide to Second Generation Options
This book is a detailed exploration of advanced derivatives, specifically focusing on second-generation exotic options.
A desk-oriented guide to complex payoff structures in derivatives and structured products.
Monte Carlo methods in financial engineering
This book covers Monte Carlo methods as applied to financial engineering, focusing on derivative securities and their pricing.
Pricing and Trading Interest Rate Derivatives
This title serves as a comprehensive resource for practitioners navigating the complexities of interest rate derivatives and swaps.
A comprehensive guide on algorithmic adjoint differentiation and parallel simulations in finance.
This volume focuses on building professional derivative scripting systems with an emphasis on xVA applications.
This book serves as an accessible introduction to FX options and derivatives for learners at various levels.
The Mathematics of Financial Derivatives
Cambridge-flavoured path from trees to Black–Scholes PDEs with exercises—rigorous for its length, dated on modern vol and funding detail.
Pre-electronic lens on inventory, bid–ask, and spread risk—pedagogical colour, not a guide to modern screen markets.
Modelling Single-name and Multi-name Credit Derivatives
Dense, dealer-era quant manual on CDS through tranches—essential lineage reading if not a live map of 2025 flow.
This book offers practical wisdom on volatility trading with a focus on market realities.
The Volatility Surface: A Practitioner's Guide
A comprehensive examination of volatility dynamics in derivatives trading.
This work discusses the limitations of the Black-Scholes model in the context of derivatives trading.
The Greeks: A Comprehensive Reference on Option Pricing
This work offers an in-depth exploration of the Greeks in option pricing.
The Garman-Kohlhagen Model for Foreign Currency Options
This work presents a foundational model for pricing foreign currency options.
Term Structure Models - A Graduate Course
This text offers an advanced mathematical exploration of yield curve models and term structure dynamics.
Synthetic CDOs: Theory and Practice
This work provides a comprehensive exploration of synthetic collateralised debt obligations.
Structured Products: Analysis, Valuation and Strategies
A comprehensive guide to the design, pricing, and marketing of structured notes.
Stochastic Volatility Modeling
This book serves as an advanced reference on stochastic volatility models, particularly focusing on SABR and CEV.
Quantitative Finance with Python: An Object-Oriented Approach
This book provides an object-oriented approach to quantitative finance using Python.
Quantitative Easing and Its Aftermath: Central Banking after the Crisis
This work examines the implications of quantitative easing and subsequent central banking policies.
This work provides a mathematical framework for valuing credit-default swaps.
Damiano Brigo · Fabio Mercurio · 2006 · Springer
This comprehensive text on interest rate models delves into both theoretical frameworks and practical applications, making it essential for practitioners in quantitative finance. Covering a wide range of derivatives and quantitative techniques, it serves as a vital resource for traders and quants focused on interest rate instruments.
Cartea et al. · 2015 · MIT Press
This comprehensive overview of algorithmic and high-frequency trading delves into market microstructure and the quantitative methods that underpin these trading strategies. It is designed for practitioners seeking to understand the intricacies of derivatives and the technological frameworks that support high-speed trading operations.
Christian Bluhm et al. · 2016 · Chapman And Hall
This comprehensive text provides a detailed exploration of credit risk modelling, focusing on the quantitative methods and techniques used in the assessment and management of credit risk. It is particularly relevant for professionals involved in derivatives and credit markets.
Rebonato Riccardo · 1998 · MIT Press
This comprehensive text provides a detailed exploration of derivative pricing and hedging strategies, focusing on quantitative finance methodologies. It serves as a foundational resource for practitioners seeking to understand the complexities of derivatives in financial markets.
Christian Bluhm · Ludger Overbeck · 2010 · Butterworth Heinemann
This comprehensive guide delves into the intricacies of basket and tranche securities, focusing on their structure, pricing, and risk management. It serves as a vital resource for practitioners involved in derivatives and credit markets, offering insights into the mechanics of these complex financial instruments.
Bond Risk Management · 2010 · Risk Books
This handbook provides an in-depth exploration of callable bonds, focusing on their valuation and risk assessment. It is particularly relevant for traders and portfolio managers engaged in fixed income markets, offering insights into numerical methods for pricing these complex instruments.
Financial Stability Board · 2017 · Fsb
This publication from the Financial Stability Board explores the evolving landscape of collateral management within the context of central clearing. It focuses on regulatory developments and their implications for risk management practices in derivatives markets.
Amir D. Singh · James Aitken · 2009 · John Wiley & Sons
This comprehensive guide addresses the complexities of collateral management and its critical role in mitigating counterparty risk within financial markets. It is particularly relevant for professionals dealing with derivatives and treasury operations, providing practical insights and methodologies.
Erik Banks · 2004 · Palgrave Macmillan
Desk-oriented guide to TARFs, accumulators, range accruals, and other complex payoff structures in derivatives and structured products.
Stephen McLeish · Robert Resenfeld · 2009 · Risk Books
Correlation in Credit Markets examines the intricate relationships between various credit derivatives and their underlying assets. This text is essential for practitioners seeking to understand the quantitative aspects of credit risk and the dynamics of correlation in credit markets.
A Continuing Challenge for Global Financial Markets, 2nd Edition
Jon Gregory · 2012 · John Wiley & Sons
This book provides a comprehensive examination of counterparty credit risk and credit value adjustment, essential for understanding the challenges faced by global financial markets. It addresses the evolution of counterparty risk management practices and the implications for financial institutions.
Jon Gregory · 2010 · John Wiley & Sons
This comprehensive volume addresses the intricacies of counterparty risk and credit valuation adjustment (CVA) within global financial markets. It delves into the methodologies and regulatory frameworks that shape risk management practices, particularly in derivatives trading.
Janet M. Tavakoli · 2001 · John Wiley & Sons
This comprehensive guide explores the intricate world of credit derivatives, detailing the various instruments and their applications in financial markets. It serves as an essential resource for traders, analysts, and structurers seeking to deepen their understanding of credit risk management.
Markit · 2008 · Jpmorgan
This manual provides a comprehensive overview of credit index derivatives, focusing on their pricing, trading strategies, and risk management techniques. It serves as a vital resource for practitioners involved in the credit derivatives market, offering insights into the complexities of these financial instruments.
Philip Bennett · 2013 · Butterworth Heinemann
This comprehensive guide explores the mechanics and applications of currency forwards and options, essential tools in the FX derivatives market. Designed for treasurers and corporate finance professionals, it delves into practical strategies for managing currency risk through these instruments.
Robert L. McDonald · 2012 · Pearson
Rigorous alternative framing to core derivatives curricula.
Kenneth D. Campbell · 2015 · John Wiley & Sons
This comprehensive text delves into the Dodd-Frank Act's impact on derivatives regulation, providing a thorough examination of the concepts and codes that shape the current regulatory landscape. It is particularly relevant for traders, compliance professionals, and legal experts navigating this complex framework.
Nassim Nicholas Taleb · 1997 · John Wiley & Sons
Options trading and hedging from a practitioner’s perspective.
Michael G. Buehler · 2006 · John Wiley & Sons
This comprehensive volume addresses the pricing and hedging of exotic derivatives, providing practitioners with essential quantitative techniques and frameworks. It covers a range of derivative instruments and their applications in financial markets, making it a vital resource for quants and structurers.
Mohamed Bouzoubaa · Adel Osseiran · 2010 · John Wiley & Sons
This comprehensive guide explores the intricacies of exotic options and hybrid instruments, focusing on their structuring, pricing, and trading. It is particularly relevant for practitioners in FX and derivatives markets, providing insights into advanced pricing techniques and market dynamics.
Peter G. Zhang · 1998 · World Scientific
Reference on second-generation exotics including correlation and multi-asset structures cited in FX options literature.
Giles Jewitt · 2015 · John Wiley & Sons
A teaching-first tour of FX options and related derivatives: vocabulary, intuition, and workbook-style drills rather than a cutting-edge vol-surface engineering manual. Best for learners building confidence; experienced FX vol desks should treat it as revision or training material, not a primary reference.
Antonio Castagna · 2010 · John Wiley & Sons
FX options pricing and volatility surface practice.
2nd Edition
Uwe Wystup · 2017 · John Wiley & Sons
FX Options and Structured Products, Second Edition, by Uwe Wystup, provides an advanced exploration of non-vanilla FX options strategies and structured products. This comprehensive resource is designed for traders, analysts, and risk managers seeking to deepen their understanding of the FX derivatives market through practical case studies and exercises.
Martin Baxter · Andrew Rennie · 1996 · Cambridge University Press
Martingale approach to derivative pricing.
Iain J. Clark · 2010 · John Wiley & Sons
Advanced FX options pricing and models.
Jürgen Hakala · Uwe Wystup · 2002 · Risk Books
This comprehensive text delves into the intricacies of foreign exchange risk, exploring various models, instruments, and strategies essential for effective risk management. It is particularly relevant for professionals engaged in FX trading and analysis, providing a robust framework for understanding and mitigating currency risk.
Damiano Brigo · Fabio Mercurio · 2006 · Springer
Advanced interest-rate modelling for quants.
John C. Hull · 2018 · John Wiley & Sons
John C. Hull's 'Introduction to Derivatives' is a comprehensive resource for understanding derivatives in the context of quantitative finance. This intermediate-level text covers a wide array of derivative instruments, including options, futures, and swaps, while emphasising the mathematical models and risk management techniques used in their valuation and trading.
Don M. Chance · Robert Brooks · 2015 · Cengage Learning
This undergraduate and MBA-level text provides an introduction to derivatives markets, focusing on hedging and risk management, with specific coverage of FX futures.
Muhammad Ariff · 2007 · Butterworth Heinemann
This comprehensive overview of Islamic derivatives explores the principles and applications of derivatives within the framework of Islamic finance. It addresses the unique challenges and prospects of integrating conventional derivative instruments with Sharia-compliant practices.
Carol Alexander · 2008 · John Wiley & Sons
Market Risk Analysis Volume IV: Value at Risk Models offers an in-depth exploration of Value-at-Risk (VaR) models, essential for analysts and risk managers. This volume builds on foundational concepts from previous volumes, providing rigorous treatments of various VaR methodologies and their applications across different asset classes.
Alexander Lipton · 2001 · World Scientific
This text offers a comprehensive exploration of mathematical methods specifically tailored for the foreign exchange market, focusing on the quantitative techniques employed by financial engineers. It covers a range of derivatives and their applications within FX, making it essential for practitioners seeking to enhance their analytical capabilities.
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.
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.
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.