Futures, forwards, options, swaps, and exotics across asset classes.
7 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.
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.
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.
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.
How Time, Volatility, and Other Pricing Factors Drive Profit
Dan Passarelli · 2012 · John Wiley & Sons
Practitioner guide to options Greeks—how time, volatility, and higher-order risks drive P&L and hedging decisions.
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 guide covers strategies and methodologies for trading volatility, including the use of derivatives and risk management techniques.
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.
Roger Lowenstein · 2001 · Random House
LTCM and the limits of models.