Futures, forwards, options, swaps, and exotics across asset classes.
32 published titles · Same filter in catalogue
Curated sequences that include this topic.
Shelf notes for books in this topic.
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 work addresses the complexities of funding and capital valuation adjustments in global financial markets post-2008.
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.
Options Trading: A Crash Course
A practical playbook for equity options trading strategies.
A technical reference on computational methods for financial derivatives.
Modern Derivatives Pricing and Credit Exposure Analysis
This work provides a comprehensive examination of counterparty valuation adjustments and modern pricing frameworks in derivatives.
Islamic Derivatives: An Overview and Prospects
This work provides a guide to Sharia-compliant derivatives and hedging strategies.
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.
Global edition
John C. Hull · 2021 · Pearson
The standard graduate-level derivatives text.
3rd Edition
David F. DeRosa · 2011 · John Wiley & Sons
This comprehensive guide delves into the intricacies of options on foreign exchange, providing essential insights for practitioners in the FX derivatives market. It covers pricing models, risk management strategies, and the application of these instruments in various trading scenarios.
Michael Cohen · 2015 · John Wiley & Sons
Options Trading: A Crash Course provides an accessible yet thorough introduction to the world of options trading. Covering essential strategies and concepts, this book is aimed at traders and analysts looking to enhance their understanding of derivatives and equities.
Euan Sinclair · 2010 · John Wiley & Sons
Option Trading: Pricing and Volatility Strategies and Techniques by Euan Sinclair is a detailed guide for practitioners in the options market, covering essential topics such as pricing, volatility measurement, and hedging techniques. This resource is designed for traders and analysts seeking to enhance their understanding of options trading strategies in various market conditions.
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.
Paul Wilmott · 2007 · John Wiley & Sons
Accessible quant entry across instruments and models.
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.
A Practical Guide to Swaps
J. Hamish M. Darbyshire · 2022 · Aitch & Dee
A swaps trader’s bridge from curve building to book management: plain-vanilla and cross-currency IR swaps, risk, funding/CSA colour, and the distance between classroom models and how desks actually work. Third-edition material includes practical Python illustrations alongside the narrative.
Darrell Duffie · Mark Garleanu · 2003 · John Wiley & Sons
This comprehensive text delves into the pricing mechanisms of credit-default swaps (CDS), a pivotal instrument in modern financial markets. It offers quantitative methodologies tailored for practitioners, focusing on the intricacies of credit derivatives and their applications in risk management and trading strategies.
Israel Nelken · 2000 · McGraw-Hill
This comprehensive guide delves into the intricacies of pricing, hedging, and trading exotic options, focusing on their application in the FX and derivatives markets. It serves as an essential resource for traders and analysts seeking to enhance their understanding of complex financial instruments.
Alan S. Blinder · 2013 · Center On Budget
This work by Alan S. Blinder provides a comprehensive analysis of quantitative easing (QE) and its implications for central banking in the aftermath of the financial crisis. It delves into the mechanisms of QE, its effectiveness, and the broader economic policies that have emerged in response to the crisis.
Dylan Toscano · 2018 · John Wiley & Sons
This book provides an in-depth exploration of quantitative finance through an object-oriented programming lens using Python. It covers essential topics such as derivatives and quantitative methods, making it suitable for practitioners in finance and technology.
Revised Edition
Alexander J. McNeil et al. · 2015 · Princeton University Press
This revised edition of 'Quantitative Risk Management' offers an extensive exploration of theoretical concepts and modelling techniques essential for effective risk management. It addresses market, credit, and operational risk, providing practical tools for analysts and risk managers to tackle real-world challenges.
John C. Hull · 2015 · John Wiley & Sons
Institutional risk management alongside derivatives literacy.
Jean-Pierre Fouque et al. · 2000 · Chapman And Hall
Stochastic Volatility Modeling provides a comprehensive framework for understanding and applying stochastic volatility models in quantitative finance. The book covers essential mathematical tools and methodologies for pricing derivatives and managing risk in financial markets.
Chance Don M. · 2011 · John Wiley & Sons
This comprehensive text on structured products delves into their analysis, valuation, and strategic applications within the financial markets. It is particularly relevant for professionals engaged in derivatives and equities, providing insights into the complexities of these instruments.
2nd Edition
Satyajit Das · 2001 · John Wiley & Sons
Structured Products and Hybrid Securities provides an in-depth examination of complex financial instruments, focusing on their structure, valuation, and risk management. This edition covers various derivatives and fixed income products, making it essential for professionals involved in trading and portfolio management.
Satyajit Choudhry · 2004 · Butterworth Heinemann
Synthetic CDOs: Theory and Practice offers an in-depth exploration of synthetic collateralised debt obligations, focusing on their theoretical foundations and practical applications within the derivatives and credit markets. This comprehensive text is essential for practitioners involved in structuring and trading these complex financial instruments.
Damir Filipovic · 2009 · Springer
This comprehensive text delves into term structure models, focusing on their application in derivatives and quantitative finance, particularly in the context of interest rates. It serves as a graduate-level course, providing a robust foundation for understanding the dynamics of interest rate models.
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.
Mark B. Garman · Steven W. Kohlhagen · 1983 · Financial Analysts Journal
The Garman-Kohlhagen Model for Foreign Currency Options presents a comprehensive framework for valuing currency options, integrating essential quantitative finance techniques. This text is particularly relevant for practitioners involved in FX trading and derivatives analysis.
Claudi Nattermann · 2010 · Risk Books
This comprehensive reference on option pricing delves into the Greeks, essential metrics for understanding the sensitivity of options to various market factors. It addresses the quantitative methods used in derivatives pricing, making it a valuable resource for traders and risk managers alike.
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.
Emanuel Derman · Michael B. Miller · 2016 · John Wiley & Sons
The Volatility Smile delves into the intricacies of option pricing and the phenomena of volatility smiles in derivatives markets. It offers quantitative insights essential for traders and quants navigating complex financial instruments.
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.
Jim Gatheral · 2006 · John Wiley & Sons
This comprehensive guide delves into the intricacies of the volatility surface, a critical concept in derivatives pricing and risk management. It offers practitioners insights into the mathematical models and quantitative methods used to understand and navigate market behaviours.
3rd Edition
Jon Gregory · 2015 · John Wiley & Sons
The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital offers a comprehensive exploration of counterparty credit risk and its associated financial adjustments. This third edition provides practical insights into the latest regulatory frameworks and market practices, focusing on critical xVA terms such as CVA, DVA, and FVA.
2nd Edition
Riccardo Rebonato · 2004 · John Wiley & Sons
This book delves into the intricate relationship between volatility and correlation within the context of derivatives and fixed income markets. It serves as a comprehensive guide for analysts and risk managers seeking to understand and apply quantitative finance principles in their work.
Sinclair Colin · 2012 · John Wiley & Sons
Volatility Trading by Colin Sinclair provides an in-depth exploration of volatility as a financial instrument, essential for traders and quants. This comprehensive guide covers the strategies and methodologies for trading volatility, including the use of derivatives and risk management techniques.
Roger Lowenstein · 2001 · Random House
LTCM and the limits of models.
Funding and Capital Valuation Adjustments: A Continuing Challenge for Global Financial Markets
Damiano Brigo et al. · 2013 · John Wiley & Sons
This comprehensive volume addresses the complexities of funding and capital valuation adjustments (xVA) in the context of credit derivatives. It serves as a critical resource for professionals navigating the challenges of valuation in global financial markets.