Part I. Basic Definitions and No Arbitrage

1. Definitions and Notation

2. No-Arbitrage Pricing and Numeraire Change

Part II. From Short Rate Models to HJM

3. One-factor short-rate models

4. Two-Factor Short-Rate Models

5. The Heath-Jarrow-Morton (HJM) Framework

Part III. Market Models

6. The LIBOR and Swap Market Models (LFM and LSM)

7. Cases of Calibration of the LIBOR Market Model

8. Monte Carlo Tests for LFM Analytical Approximations

Part IV. The Volatility Smile

9. Including the Smile in the LFM

10. Local-Volatility Models

11. Stochastic-Volatility Models

12. Uncertain-Parameter Models

Part V. Examples of Market Payoffs

13. Pricing Derivatives on a Single Interest-Rate Curve

14. Pricing Derivatives on Two Interest-Rate Curves

Part VI. Inflation

15. Pricing of Inflation-Indexed Derivatives

16. Inflation-Indexed Swaps

17. Inflation-Indexed Caplets/Floorlets

18. Calibration to market data

19. Introducing Stochastic Volatility

20. Pricing Hybrids with an Inflation Component

Part VII. Credit

21. Introduction and Pricing under Counterparty Risk

22. Intensity Models

23. CDS Options Market Models

Part VIII. Appendices

A. Other Interest-Rate Models

B. Pricing Equity Derivatives under Stochastic Rates

C. A Crash Intro to Stochastic Diferential Equations and Poisson Processes

D. A Useful Calculation

E. A Second Useful Calculation

F. Approximating Difusions with Trees

G. Trivia and Frequently Asked Questions

H. Talking to the Tradersâ€¦read more