Derivatives

Structured Products Volume 2

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.

Complex Derivatives

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.

Modern Computational Finance

A comprehensive guide on algorithmic adjoint differentiation and parallel simulations in finance.

Modern Computational Finance

This volume focuses on building professional derivative scripting systems with an emphasis on xVA applications.

FX Derivatives Trader School

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.

Option Market Making

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.

Volatility Trading

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.

The Volatility Smile

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.

Pricing Credit-Default Swaps

This work provides a mathematical framework for valuing credit-default swaps.