Derivatives and Volatility

Foundations

1. 1 No Arbitrage and the Fundamental Theorems 8 solved exercises
2. 2 The Binomial Model 8 solved exercises
3. 3 Black–Scholes Three Ways 8 solved exercises
4. 4 Greeks and the Hedging P&L 8 solved exercises
5. 5 Dividends, Borrow and Forwards 8 solved exercises
6. 6 American Options and Early Exercise 8 solved exercises

The Volatility Surface

1. 7 Implied Volatility and Its Surface 8 solved exercises
2. 8 Parametrising the Surface 8 solved exercises
3. 9 Local Volatility 8 solved exercises
4. 10 Stochastic Volatility 8 solved exercises
5. 11 SABR and Smile Dynamics 8 solved exercises
6. 12 Rough Volatility and Forward-Variance Models 8 solved exercises
7. 13 Jumps and Lévy Models 8 solved exercises
8. 14 Variance Swaps and Volatility Derivatives 8 solved exercises

Exotics and Products

1. 15 Barriers and Digitals 8 solved exercises
2. 16 Asians, Lookbacks, Cliquets and Forward-Starts 8 solved exercises
3. 17 Multi-Asset Options 8 solved exercises
4. 18 Autocallables 8 solved exercises
5. 19 The Structured-Products Business 8 solved exercises
6. 20 FX Derivatives 8 solved exercises
7. 21 Convertibles and the Credit-Equity Link 8 solved exercises

Numerical Pricing

1. 22 Trees and Finite-Difference Pricers in Practice 8 solved exercises
2. 23 Monte Carlo Pricers in Practice 8 solved exercises
3. 24 Fourier Pricing and Calibration Engineering 8 solved exercises

On the Desk

1. 25 Trading Volatility 8 solved exercises
2. 26 Options Market Making in Practice 8 solved exercises
3. 27 Managing an Exotic Book 8 solved exercises
4. 28 Build: A Pricing Library 8 solved exercises

28 chapters — 28 online so far, and more publishing regularly. The complete book is already available as a free PDF you can read online.