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 – OIS discounting, credit issues, and funding costs – Mechanics of options markets – Properties of stock options – Trading strategies involving options – Binomial trees – Wiener processes and Ito’s Iemma – The Black-Scholes-Merton model – Employee stock options – Option on stock indices and currencies – Future 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 – HJM, LMM, and multiple zero curves

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