1 Products and Markets: Equities, Commodities, Exchange Rates, Forwards and Futures 1
2 Derivatives 27
3 Predicting the Markets? A Small Digression 59
4 All the Math You Need ... and No More (An Executive Summary) 75
5 The Binomial Model 85
6 The Random Behavior of Assets 101
7 Elementary Stochastic Calculus 119
8 The Black-Scholes Model 139
9 Partial Differential Equations 155
10 The Black-Scholes Formulas and the 'Greeks' 163
11 Multi-Asset Options 193
12 An Introduction to Exotic and Path-Dependent Options 207
13 Barrier Options 227
14 Fixed-Income Products and Analysis: Yield, Duration and Convexity 251
15 Swaps 275
16 One-Factor Interest Rate Modeling 285
17 Interest Rate Derivatives 299
18 Heath, Jarrow and Morton 319
19 Portfolio Management 355
20 Value at Risk 355
21 Credit Risk 367
22 RiskMetrics and CreditMetrics 383
23 CrashMetrics 393
24 Derivatives Ups 413
25 Finite-Difference Methods for One-Factor Models 427
26 Monte Carlo Simulation and Related Methods 453
App. A A Trading Game 479
App. B What You Get If (When) You Upgrade ... 485
Contents of the CD 489
Bibliography 491
Index 507