contents

• 1 Products and Markets: Equities, Commodities, Exchange Rates,Forwards and Futures
• 2 Derivatives
• 3 The Binomial Model
• 4 The Random Behavior of Assets
• 5 Elementary Stochastic Calculus
• 6 The Black–Scholes Model
• 7 Partial Differential Equations
• 8 The Black–Scholes Formulæ and the ‘Greeks’
• 9 Overview of Volatility Modeling
• 10 How to Delta Hedge
• 11 An Introduction to Exotic and Path-dependent Options
• 12 Multi-asset Options
• 13 Barrier Options
• 14 Fixed-income Products and Analysis: Yield, Duration and Convexity
• 15 Swaps
• 16 One-factor Interest Rate Modeling
• 17 Yield Curve Fitting
• 18 Interest Rate Derivatives
• 19 The Heath, Jarrow & Morton and Brace, Gatarek & Musiela Models
• 20 Investment Lessons from Blackjack and Gambling
• 21 Portfolio Management
• 22 Value at Risk
• 23 Credit Risk
• 24 RiskMetrics and CreditMetrics
• 25 CrashMetrics
• 26 Derivatives **** Ups
• 27 Overview of Numerical Methods
• 28 Finite-difference Methods for One-factor Models
• 29 Monte Carlo Simulation
• 30 Numerical Integration