Отличная книга по оценке,хеджингу и риск-менеджменту деривативов,начиная от plain vanilla и заканчивая weather and insurance derivatives. Must have как для студентов некоторых экономических специальностей так и для практикующих профессионалов.

Это table of contents 6-го издания:
Preface.
1. Introduction.
2. Mechanics of Futures Markets.
3. Hedging Strategies Using Futures.
4. Interest Rates.
5. Determination of Forward and Futures Prices.
6. Interest Rate Futures.
7. Swaps.
8. Mechanics of Options Markets.
9. Properties of Stock Options.
10. Trading Strategies Involving Options.
11. Binomial Trees.
12. Wiener Processes and Ito?s Lemma.
13. The Black-Scholes-Merton Model.
14. Options on Stock Indices, Currencies, and Futures.
15. Greek Letters.
16. Volatility Smiles.
17. Basic Numerical Procedures.
18. Value at Risk.
19. Estimating Volatilities and Correlations for Risk Management.
20. Credit Risk.
21. Credit Derivatives.
22. Exotic Options.
23. Insurance, Weather, and Energy Derivatives.
24. More on Models and Numerical Procedures.
25. Martingales and Measures.
26. Interest Rate Derivatives: The Standard Market Models.
27. Convexity, Timing, and Quanto Adjustments.
28. Interest Rate Derivatives: Models of the Short Rate.
29. Interest Rate Derivatives: HJM and LMM.
30. Swaps Revisited.
31. Real Options.
32. Derivatives Mishaps and What We Can Learn from Them.
Glossary of Terms.


Книга предполагает наличие знаний по терверу и статистике.

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