| Basic Theory of Derivatives |
| Products and Markets |
| Derivatives |
| The Random Behavior of Assets |
| Elementary Stochastic Calculus |
| The Black-Scholes Model |
| Partial Differential Equations |
| The Black-Scholes Formulae and the 'Greeks' |
| Simple Generalizations of the Black-Scholes World |
| Early Exercise and American Options |
| Probability Density Functions and First Exit Times |
| Multi-asset Options |
| The Binomial Model |
| Path Dependency |
| An Introduction to Exotic and Path-dependent Options |
| Barrier Options |
| Strongly Path-dependent Options |
| Asian Options |
| Lookback Options |
| Miscellaneous Exotics |
| Extending Black-Scholes |
| Defects in the Black-Scholes Model |
| Discrete Hedging |
| Transaction Costs |
| Volatility Smiles and Surfaces |
| Stochastic Volatility |
| Uncertain Parameters |
| Empirical Analysis of Volatility |
| Jump Diffusion |
| Crash Modeling |
| Speculating with Options |
| The Feedback Effect of Hedging in Illiquid Markets |
| Static Hedging |
| Interest Rates and Products |
| Fixed-income Products and Analysis: Yield, Duration and Convexity |
| Swaps |
| One-factor Interest Rate Modeling |
| Yield Curve Fitting |
| Interest Rate Derivatives |
| Convertible Bonds |
| Two-factor Interest Rate Modeling |
| Empirical Behavior of the Spot Interest Rate |
| Heath, Jarrow and Morton |
| Interest-rate Modeling Without Probabilities |
| Risk Measurement and Management |
| Portfolio Management |
| Value at Risk |
| Credit Risk |
| Credit Derivatives |
| RiskMetrics, CreditMetrics and CrashMetrics |
| Numerical Methods |
| Finite-difference Methods for One-factor Models |
| Further Finite-difference Methods for One-factor Models |
| Finite-difference Methods for Two-factor Models |
| Monte Carlo Simulation and Related Methods |
| Finite-difference Programs |
| Epilog |
| Bibliography |
| Index |
| Basic Theory of Derivatives |
| Products and Markets |
| Derivatives |
| The Random Behavior of Assets |
| Elementary Stochastic Calculus |
| The Black-Scholes Model |
