Includes bibliographical references and indexes.

Introduction -- Mechanics of futures markets -- Hedging strategies using futures -- Interest rates -- Determination of forward and futures prices -- Interest rate futures -- Swaps -- Securitization and the Credit Crisis of 2007 -- Mechanics of options markets -- Properties of stock options -- Trading strategies involving options -- Binomial trees -- Wiener processes and Ito's Lemma -- The Black-Scholes-Merton model -- Employee stock options -- Options on stock indices and currencies -- Futures options -- The Greek letters -- Volatility smiles -- Basic numerical procedures -- Value at risk -- Estimating volatilities and correlations -- Credit risk -- Credit derivatives -- Exotic options -- More on models and numerical procedures -- Martingales and measures -- Interest rate derivatives : the standard market models -- Convexity, timing and quanto adjustments -- Interest rate derivatives : models of the short rate -- Interest rate derivatives : HJM and LMM -- Swaps revisited -- Energy and commodity derivatives -- Real options -- Derivatives mishaps and what we can learn from them -- Derivatives markets in developing countries.