Don Chance's Derivatives Reading List

I am often asked "I'm interested in learning about derivatives. What should I start reading?" For those about to undertake this challenging journey, I have compiled a list of the following books. Note that with the exception of some readings books there are no articles per se. That does not mean you should not read articles but most of the material is contained somewhere in these books. Where do you start? That's up to you. Just start reading somewhere.

Introductory Textbooks

Billingsley, Randall S.  Understanding Arbitrage:  An Intuitive Approach to Financial Analysis.  Upper Saddle River, New Jersey:  Wharton Publishing (2006).  A good place to start to grasp the concept of arbitrage and to see how it applies all over finance.

Boyle, Phelim and Feidhlim Boyle. Derivatives: The Tools That Changed Finance. London: Risk Books (2001). An excellent treatment at the most fundamental level of derivatives by one of the best known writers in the field.

Chance, Don M.  Analysis of Derivatives for the CFA Program.  Charlottesville:  Association for Investment Management and Research (2003).  This is my book that prepares CFA candidates for taking the exam.  Treatment of derivatives is focused strictly on what you need to know to pass the exam.  Don't buy it to learn derivatives, because it's not oriented toward a derivatives specialist.  But do buy it if you have to pass the CFA exam.

Chance, Don M. Essays in Derivatives, 2nd ed. New York:  Wiley (2008).  The long-awaited second edition, meaning that after 10 years I finally got around to updating it.

Chance, Don M. and Robert Brooks.  An Introduction to Derivatives and Risk Management, 7th ed. Mason, Ohio:  Thomson South-Western (2007). You can check this one out at

Daigler, Robert T. Financial Futures Markets: Concepts, Evidence, and Applications. New York: Harper Collins (1993).

Daigler, Robert T. Financial Futures and Options Markets: Concepts and Strategies. New York: Harper Collins (1994).

Dowd, Kevin. Beyond Value at Risk. Chichester, U.K.: Wiley (1998).

Dubofsky, David A. Options and Financial Futures: Valuation and Uses. New York: McGraw-Hill (1992). A very nice book that unfortunately didn't do well in the market. May have struggled to find the niche.

Dubofsky, David A. and Thomas W. Miller, Jr.  Derivatives:  Valuation and Risk Management.  New York:  Oxford University Press (2003).

Edwards, Franklin R. and Cindy W. Ma. Futures and Options. New York: McGraw-Hill (1992).

Hull, John C. Introduction to Futures and Options Markets, 4th. ed. Upper Saddle River, New Jersey: Prentice-Hall (2002). Great introductory book that I'd use if I didn't have my own.

Johnson, R. Stafford and Carmelo Giaccotto. Options and Futures: Concepts, Strategies, and Applications. Minneapolis: West Publishing Co. (1995)

Kolb, Robert W. Financial Derivatives, 2nd. ed. Miami: Kolb Publishing (1996).

Kolb, Robert W. and James A. Overdahl.  Futures, Options, and Swaps, 5th. ed. New York: Blackwell (2007).

Kolb, Robert W. Understanding Futures Markets, 3rd. ed. Miami: Kolb Publishing (1991).

Kolb, Robert W. Options: An Introduction. Miami: Kolb Publishing (1991).

Lam, James.  Enterprise Risk Management:  From Incentives to Controls.  Hoboken, NJ:  Wiley (2003).  Excellent non-technical treatment about ERM from the person who practically invented it.

Leuthold, Raymond M., Joan C. Junkus, and Jean E. Cordier. The Theory and Practice of Futures Markets. Lexington, Massachusetts: D. C. Heath (1989).

McLaughlin, Robert M. Over-the-Counter Derivative Products. New York: McGraw-Hill (1999).

Marshall, John F. Futures and Options Contracting: Theory and Practice. Cincinnati: South-Western (1989).

Rendleman, Richard J., Jr. Applied Derivatives: Options, Futures, and Swaps. Malden, Massachusetts: Blackwell (2002).

Risk Books, Modern Risk Management:  A History.  London:  Risk Books (2003).  This one is not really a history (though it does include a nice historical chapter by Bill Margrabe), but more of a general compilation of the state of knowledge of risk management.  Chapters are written by different experts.  Nice concluding section with personal thoughts of many of the field's leading thinkers.

Strong, Robert A. Speculative Markets, 2nd. ed. New York: Harper Collins (1994).

Tucker, Alan L. Financial Futures, Options and Swaps. St. Paul: West (1991).

Slightly More Advanced Texts

These books are generally more advanced than those on the above list but in some cases the distinction is blurred.

Arditti, Fred D. Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities. Boston: Harvard Business School Press (1996). A very nice book with heavy emphasis on binomial modeling. Would be a good textbook but no end-of-chapter problems.

Briys, Eric, Mondher Bellalah, Huu Minh Mai, and Francois de Varenne. Options, Futures and Exotic Derivatives. Chichester, U.K.: John Wiley (1998). Very comprehensive work.

Brooks, Robert.  Building Financial Derivatives Applications with C++.  Westport, CT:  Quorum Books (2000). Shows how to price derivatives writing code in C++.

Campbell, Tim and William A. Kracaw. Financial Risk Management: Fixed Income and Foreign Exchange. New York: Harper-Collins (1993). These two guys were ahead of their times in writing this book, but it is outdated now.

Chriss, Neil A. Black-Scholes and Beyond: Option Pricing Models. Chicago: Irwin Professional Publishing (1997). How much can be said about the Black-Scholes model? More than you think.

Clewlow, Les and Chris Strickland. Exotic Options. London: International Thomson Business Press (1997). Like its competitor, Nelken, nice compact easy to read book.

Clewlow, Les and Chris Strickland. Implementing Derivatives Models. Chichester, U.K.: John Wiley (1998). Like their other book, this one is pretty short, but well packed.

Cox, John C. and Mark Rubinstein. Options Markets. Englewood Cliffs: Prentice-Hall (1985). The bible of option pricing. No interest rate modeling, however, and needs updating. Excellent bibliography for its time.

Duffie, Darrell. Futures Markets. Englewood Cliffs, New Jersey: Prentice-Hall (1989). An excellent text showing Duffie can not only write math, he can also write plain simple English.

Epps, T. W.  Pricing Derivative Securities.  Singapore:  World Scientific (2000).

Figlewski, Stephen, William L. Silber, and Marti G. Subrahmanyam, eds. Financial Options: From Theory to Practice. Homewood: Business One Irwin (1990). Nice collection of articles covering a wide range of topics.

Gemmill, Gordon. Options Pricing: An International Perspective. New York: McGraw-Hill (1993). Nice compact paperback.

Gibson, Rajna. Option Valuation: Analyzing and Pricing Standardized Option Contracts. New York: McGraw-Hill (1991). Excellent book for its time, but outdated today.

Haug, Espen Gaarder. The Complete Guide to Option Pricing Formulas. New York: McGraw-Hill (1997). An excellent and comprehensive reference guide, which includes a diskette with option pricing models. Author describes himself as a collector of option pricing formulas the way others collect stamps.

Hull, John C. Options, Futures and other Derivatives, 6th. ed. Upper Saddle River, New Jersey: Prentice-Hall (2006). This has been the # 1 MBA-level book on options but it is pretty technical for your average MBA.

Jarrow, Robert A. Modelling Fixed Income Securities and Interest Rate Options, 2nd. ed. Stanford, CA:  Stanford University Press (2002). An excellent concise treatment of HJM-type models. Unfortunately not enough on other people's models (duh).

Jarrow, Robert A. and Andrew Rudd. Option Pricing. Homewood, Illinois: Irwin (1983). The book that first taught me option pricing. It belongs on everyone's shelf.

Jarrow, Robert A. and Stuart M. Turnbull. Derivative Securities, 2nd. ed. Cincinnati: South-Western (2000). My preference for first graduate level book but has not done well in the market.

Jorion, Philippe. Value at Risk, 2nd. ed. New York:  McGraw-Hill (2001).  This is the revision of Jorion's first success with the ubiquitous subject of VAR.  You would never believe someone could write a whole book on VAR, but Jorion proves there is a lot more to say than most people think. Critics of VAR won't like it as Jorion is clearly pro-VAR.

McDonald, Robert L.  Derivatives Markets, 2nd. ed.  Boston:  Addison-Wesley (2006).  One of the few successful competitors to Hull at the graduate level.

Nelken, Israel. The Handbook of Exotic Options. Chicago: Irwin (1996). Competing with Clewlow-Strickland, this too is a nice compact easy-to-read book.

Prisman, Eliezer Z.  Pricing Derivative Securities.  San Diego:  Academic Press (2000).  Illustrates derivative pricing principles using programming examples in Matlab and Maple.

Ritchken, Peter. Derivative Markets: Theory, Strategy, and Applications. New York: HarperCollins (1996). Aimed at the MBA-level course, this is a very good book but it's tough to crack the Hull and Jarrow-Turnbull market.

Ritchken, Peter. Options: Theory, Strategy, and Applications. Glenview, Illinois: Scott, Foresman (1987). Ritchken's first book. I liked it but evidently not enough others did.

Ross, Sheldon M.  An Introduction to Mathematical Finance:  Options and Other Topics.  Cambridge:  Cambridge University Press (1999).  A nice short book.

Siegel, Daniel R. and Diane R. Siegel. Futures Markets. Chicago: Dryden (1990). The late Dan Siegel did a great job with this book. Someone needs to update it and get it back on the market.

Stoll, Hans R. and Robert E. Whaley. Futures and Options: Theory and Applications. Cincinnati: South-Western (1993). I like this book, but I liked the manuscript copy better. Also the book needs end-of-chapter problems and software to compete as a text.

Sundaresan, Suresh. Fixed Income Markets and their Derivatives. Cincinnati: South-Western (1997). This book is likely to build its own new market by inducing instructors to create courses on fixed income (Say's Law).

Taleb, Nassim. Dynamic Hedging: Managing Vanilla and Exotic Options. New York: Wiley (1997). Taleb is well-known as a critic of modern option pricing models and pulls out all the stops in showing its limitations. An excellent and quite different type of book on the subject.

Van Deventer, Donald R., Kenji Imai, and Mark Mesler.  Advanced Financial Risk Management:  Tools and Techniques for Integrated Credit Risk and Interest Rate Risk Management.  Singapore:  Wiley (2005).  Very bank-oriented book on quantitative risk management techniques.

Wilmott, Paul. Derivatives: The Theory and Practice of Financial Engineering. New York: Wiley (1999). Comprehensive volume written at a very readable level.

Advanced Treatments (heavily mathematical)

Baxter, Martin and Andrew Rennie. Financial Calculus. Cambridge, U.K.: Cambridge University Press (1996). A nice, compact book but the jury is still out on how good it is. I'll let you know.

Bjork, Tomas. Arbitrage Theory in Continuous Time. Oxford: Oxford University Press (1998). Very technical but readable treatment.

James, Jessica and Nick Webber. Interest Rate Modelling. Chichester, U.K.: Wiley (2000).

Musiela, Marek and Marek Rutkowski. Martingale Methods in Financial Modelling. Berlin: Springer (1997). Title is misleading as it sounds like a more general finance book, but it's strictly derivative pricing. Great book, however, and best bibliography.

Neftci, Salih N. An Introduction to the Mathematics of Financial Derivatives, 2nd. ed. San Diego: Academic Press (2000). I have taught from this book several times and love it. The second edition is cleaned up and has more material on interest rate derivatives.

Neftci, Salih N.  Principles of Financial Engineering.  Amsterdam:  Elsevier (2004).  Looks like another excellent contribution from Neftci. 

Nielsen, Lars Tyge. Pricing and Hedging of Derivative Securities. Oxford: Oxford University Press (1999). One of my favorites but a very tough read.

Wilmott, Paul, Sam Howison and Jeff DeWynne. The Mathematics of Financial Derivatives: A Student Introduction. Cambridge: Cambridge University Press (1995). Written by mathematicians for mathematics students, it's still highly readable by the rest of us, but a little overdone on the differential equations. Could stand more economic and finance intuition.

Wilmott, Paul, Sam Howison and Jeff DeWynne. Option Pricing: Mathematical Models and Computation. Oxford: Oxford Financial Press (1993). Presumably the full-blown version of their "Student Introduction" book, but I haven't seen it.

Books with Considerable Emphasis on Applications

Crouhy, Michel, Dan Galai, and Robert Mark. Risk Mangement. New York: McGraw-Hill (2001). This is an excellent counterpart to the Smithson book, with more emphasis on risk management from a bank's perspective.

Gastineau, Gary L. The Options Manual, 3rd. ed. New York: McGraw-Hill (1979). A classic, it's where I learned basic option strategies.

Klein, Robert A. and Jess Lederman. Derivatives Risk and Responsibility. Chicago: Irwin (1996). Great book covering the concept of firm-wide risk management. A must for anyone who cares about managing risk.

McMillan, Lawrence G. McMillan on Options. New York: Wiley (1996). McMillan's books are all well-regarded and rightfully so.

Mason, Scott, Robert Merton, André Perold and Peter Tufano. Cases in Financial Engineering: Applied Studies of Financial Innovation. Englewood Cliffs: Prentice-Hall (1995).

Marshall, John F. and Vipul K. Bansal. Financial Engineering, 2nd. ed. Miami: Kolb Publishing Co. (1993).

Shaw, William. Modelling Financial Derivatives with Mathematica. Cambridge, U.K.: Cambridge University Press (1998). A book on how to write Mathematica code for pricing derivatives and an excellent reference on derivatives pricing in general.

Smithson, Charles W. Managing Financial Risk: A Guide to Derivative Products, Financial Engineering, and Value Maximization, 3rd. ed. New York:  McGraw-Hill (1998).  The book I use in my MBA-level risk management class.

Financial Theory and Econometrics

These books cover a far broader range of subjects than derivatives, but derivatives play a large part in these books. Heavy dose of math.

Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay. The Econometrics of Financial Markets. Princeton: Princeton University Press (1997). Although not a book on derivatives, its treatment of the subject is so good that it's worth looking at.

Dothan, Michael U. Prices in Financial Markets. New York: Oxford University Press (1990).

Duffie, Darrell. Dynamic Asset Pricing Theory, 2nd. ed. Princeton: Princeton University Press (1996). This and the one below is the book from which all the mathematicians learned finance.

Duffie, Darrell. Security Markets: Stochastic Models. Boston: Academic Press (1988). See my comments on the book above.

Ingersoll, Jonathan E., Jr. Theory of Financial Decision Making. Totowa, New Jersey: Rowman and Littlefield (1987). A classic, covering nearly every area of finance and doing an outstanding job. Very readable.

Jarrow, Robert A. Finance Theory. Englewood Cliffs: Prentice-Hall (1988).

Karatzas, Ioannis and Steven E. Shreve. Methods of Mathematical Finance. New York: Springer-Verlag (1999).

LeRoy, Stephen F. and Jan Werner. Principles of Financial Economics. Cambridge, U.K.: Cambridge University Press (2001). Demanding but readable treatment of the theory of finance.

Merton, Robert C. Continuous-Time Finance. Cambridge, Massachusetts: Basil Blackwell (1990). The collected papers of Merton, edited for continuity.

Ohlson, James A. The Theory of Financial Markets and Information. New York: North-Holland (1987).

Pliska, Stanley R. Introduction to Mathematical Finance: Discrete Time Models. Malden, Mass.: Blackwell (1997). Looks like a good book, but who wants to spend a whole book in discrete time. Give us a continuous time companion, Stan.

Shafer, Glenn and Vladimir Vovk.  Probability and Finance:  It's Only a Game.  New York:  Wiley (2001).  An entire book on how finance can be viewed as game theory. 

Stochastic Processes

These books do not deal directly with derivatives but are more concerned with stochastic processes.

Karatzas, Ioannis and Steven E. Shreve. Brownian Motion and Stochastic Calculus, 2nd. ed. New York: Springer-Verlag (1991). A classic book on stochastic processes. While both authors have gone on to do mathematical finance, there isn't much finance in this one.

Karlin, Samuel and Howard M. Taylor. A First Course in Stochastic Processes, 2nd. ed. Boston: Academic Press (1975). To be read with its sequel below.

Karlin, Samuel and Howard M. Taylor. A Second Course in Stochastic Processes. Boston: Academic Press (1981). See above.

Malliaris, A. G. and W. A. Brock. Stochastic Methods in Economics and Finance. Amsterdam: North-Holland (1982). This is a great book with just the right blend of mathematics, finance and economics. These guys give very good intuition to the models.

Ross, Sheldon M. An Introduction to Mathematical Finance: Options and Other Topics. Cambridge, U.K.: Cambridge University Press (1999). A nice and very short introductory treatment of the subject with lots of practice problems.

Shimko, David C. Finance in Continuous Time: A Primer. Miami: Kolb Publishing (1992). I was a little disappointed in this book, but it's still worth a read. Very short, which is a plus.

Readings Books

These books contain collections of articles on derivatives.

Dempster, Michael A. H. and Stanley R. Pliska. Mathematics of Derivative Securities. Cambridge, U.K.: Cambridge University Press (1997). A collection of papers by the best people in mathematical finance. Some excellent survey articles.

Federal Reserve Bank of Atlanta. Financial Derivatives: New Instruments and Their Uses. Atlanta: Research Division, Federal Reserve Bank of Atlanta (1994). An excellent collection of readings, mostly from the Atlanta Fed Economic Review.

From Black-Scholes to Black Holes. London: Risk/FINEX (1993). Collection of some of the best articles in Risk magazine from its earliest years.

Gay, Gerald D. and Robert W. Kolb. Interest Rate Futures: Concepts and Issues. Richmond: R. F. Dame (1982). This collection of articles is probably hard to find but represents the finest early researcho n financial futures.

Hughston, Lane.  Vasicek and Beyond:  Approaches to Building and Applying Interest Rate Models.  London:  Risk Publications (1996).

Kolb, Robert W. The Financial Derivatives Reader. Miami: Kolb Publishing (1992). Nice set of articles easily readable by MBA students.

Over the Rainbow. London: Risk (1996). The sequel to Black-Holes to Black-Scholes. I especially like the fact that they reprinted one of my articles, but don't let that influence you.

Risk Publications.  Hull-White on Derivatives.  London: Risk Publications (1996).  A collection of the classic works of Hull and White.

Rogers, L. C. G. and D. Talay. Numerical Methods in Finance. Cambridge, U.K.: Cambridge University Press (1997). Collection of articles with cutting edge research on numerical methods for option pricing.

Whaley, Robert E., editor. Interrelations Among Futures, Options, and Futures Options Markets. Book VI. Selected Writings on Futures Markets. Chicago: Board of Trade of the City of Chicago (1992). All of the classics in option pricing theory.

Risk in General

These books are about risk, but not necessarily financial risk.  To understand financial risk, we need to understand risk in a broader context.  See also the books by Bernstein on the history of risk, Dembo on re-writing the rules of risk, and Taleb on randomness in the Light Reading section below.

David. F. N.  Games, Gods, and Gambling:  A History of Probability and Statistical Ideas.  Mineola, NY:  Dover (1998, originally published in 1962).

Ekeland, Ivar, translated by Carol Volk.  The Broken Dice and other Mathematical Tales of Chance.  Chicago:  University of Chicago Press (1993).   

Gigenrenzer, Gerd.  Calculated Risk:  How to Know When Numbers Deceive You.  New York:  Simon & Schuster (2002).  A great book on understanding how expressing probabilities in terms of relative frequencies would dispel many common risk illusions.  Could have been called "A Layman's Guide to Bayesian Analysis."

Mlodinow, Leonard.  The Drunkard's Walk:  How Randomness Rules Our Lives.  New York:  Vintage Books (2008).

Peterson, Ivars.  The Jungles of Randomness:  A Mathematical Safari.  New York:  Wiley (1998).

Ropeik, David and George Gray.  Risk:  A Practical Guide for Deciding What's Really Safe and What's Really Dangerous in the World Around You.  Boston:  Houghton-Mifflin (2002).  A bit heavy on figures, it nonetheless, dispels myths about what's really risky and what isn't.

Rosenthal, Jeffrey S.  Struck by Lightning:  The Curious World of Probabilities.  Washington, DC:  Joseph Henry Press (2006).

Ross, John F.  The Polar Bear Strategy:  Reflections on Risk in Modern Life.  Reading, MA:  Perseus Books (1999).

Von Mises, Richard.  Probability, Statistics, and Truth.  New York: Dover (1957, originally published in 1928).


Gastineau, Gary L. and Mark P. Kritzman. Dictionary of Financial Risk Management. New York: F. J. Fabozzi Associates (1996). Check it out on the web at

Johnson, Philip McBride.  Derivatives:  A Manager's Guide to the World's Most Powerful Financial Instruments. New York:  McGraw-Hill (1999).  From the former chairman of the CFTC and the world's premier derivatives attorney.

Lewis, Michael.  The Big Short:  Inside the Doomsday Machine.  New York:  W. W. Norton (2010). 

Rubinstein, Mark and Eric Reiner. Exotic Options. Unpublished manuscript. This collection of many of the Rubinstein-Reiner articles in Risk is not published to my knowledge, but should be.

Smith, Clifford W., Jr. and Charles W. Smithson. The Handbook of Financial Engineering: New Financial Product Innovations, Applications and Analyses. New York: Harper Business (1990). Collection of articles written by various academics and practitioners from the early days of financial engineering.

Stein, Jerome. The Economics of Futures Markets. Oxford, England: Basil Blackwell (1986). The theory of how futures markets operate from a microeconomic standpoint.


Here is an interesting collection of articles on the sociology of finance and derivatives markets:

MacKenzie, Donald.  "An Equation and Its Worlds:  Bricolage, Exemplars, Disunity and Perormativity in Financial Economics.  Social Studies of Science 33 (December, 2003), 831-868.

MacKenzie, Donald.  "Long-Term Capital Management and the Sociology of Arbitrage."  Economy and Society 32 (August, 2003), 349-380.

MacKenzie, Donald.  "Physics and Finance:  S-Terms and Modern Finance as a Topic for Science Studies."  Science, Technology, & Human Values 26 (Spring, 2001), 115-144.

MacKenzie, Donald and Yuval Millo.  "Constructing a Market, Performing Theory:  The Historical Sociology of a Financial Derivatives Exchange."  American Journal of Sociology 109 (July, 2003), 107-145.

Pryke, Michael and John Allen.  "Monetized Time-Space:  Derivatives - Money's 'New Imaginary'."  Economy and Society 29 (May, 2000), 264-284.

Risk Management

Fraser, John and Betty J. Simkins, eds.  Enterprise Risk Management:  Today's Leading Research and Best Practices for Tomorrow's Executives.  New York:  Wiley (2010).  A collection of readings on ERM from the industry leaders.

Haslett, Walter V. "Bud," ed.  Risk Management:  Foundations for a Changing World.  New York:  Wiley (2010).  A collection of readings from mostly CFA publications and events.

Lam, James.  Enterprise Risk Management:  From Incentives to Controls.  New York:  Wiley (2003).  Lam was probably the first Chief Risk Officer.  Whatever he says about RM or ERM, it is important.

Marthinsen, John.  Risk Takers:  Uses and Abuses of Financial Derivatives.  Boston:  Pearson Prentice-Hall (2009).  A collection of classroom cases on risk management mistakes.

Light Reading

These are books you could find on the shelves of your average downtown book store.

Bass, Thomas A. The Predictors. New York: Henry Holt (1999). Fascinating account of how Farmer and Packard went from physics directly into their own company for precicting the markets.

Bernstein, Peter L.  Against the Gods:  The Remarkable Story of Risk.  New York:  Wiley (1996).  The history of risk as seen from one of the best known practictioners and observers of financial markets.

Dembo, Ron and Andrew Freeman.  Seeing Tomorrow:  Rewriting the Rules of Risk.  New York:  Wiley (1998). A worthwile read but a lot of old concepts and ideas re-packaged.

Derman, Emanuel.  My Life as a Quant:  Reflections on Physics and Finance.  New York:  Wiley (2004).  I highly recommend this one.  A great autobiography from one of the legends of quantitative finance and one of the few legends with humility. 

Dunbar, Nicholas.  Inventing Money:  The Story of Long-Term Capital Management and the Legends Behind It. Chichester, U.K.:  Wiley (2000).  Derivatives and how LTCM blew up. See Lowenstein below.

Fay, Stephen.  The Collapse of Barings.  New York:  W. W. Norton (1996).  One of three books on the fall of Barings.

Falloon, William D.  Charlie D:  The Story of the Legendary Bond Trader.  New York:  Wiley (1997).  Excellent biography of the late Charlie DiFrancesca, one of the most popular and successful bond futures traders.

Koppel, Mara.  Women of the Pits:  Shattering the Glass Ceiling in Financial Markets.  Chicago:  Dearborn Publishing (1998).  Brief stories of an assortment of women who succeeded as pit traders in the futures and options exchanges.

Lambert, Emily.  The Futures:  The Rise of the Speculator and the Origins of the World's Biggest Markets.  New York:  Basic Books (2011).

Leeson, Nick.  Rogue Trader:  How I Brought Down Barings Bank and Shook the Financial World.  Boston: Little, Brown (1996).  Leeson's own words.

Lowenstein, Roger. When Genius Failed: The Rise and Fall of Long-Term Capital Management. New York: Random House (2000). This is a better version of the LTCM fiasco than Dunbar's but both are good.

Mehrling, Perry.  Fischer Black and the Revolutionary Theory of Finance.  New York:  Wiley (2005).  Fascinating but at times disappointing to derivatives dudes who will learn that Black cared far more about macroeconomics than about derivatives.

Partnoy, Frank.  F.I.A.S.C.O.:  Blood in the Water on Wall Street.  New York:  W. W. Norton (1997).  Kiss-and-tell book by a former Wall Street derivatives attorney.

Patterson, Scott.  The Quants:  How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It.  New York:  Crown (2010).

Pedersen, Laura with F. Peter Model.  Play Money.  New York:  Crown (1991).  The story of how one young woman's early career as a floor trader in options at the AMEX.

Rawnsley, Judith H.  Total Risk:  Nick Leeson and the Fall of Barings Bank.  New York:  HarperBusiness (1995). One of three books on the downfall of Barings.

Ritchie, Mark A.  God in the Pits:  Confessions of a Commodities Trader.  Nashville:  Thomas Nelson Publishers (1990). Theological view of the futures industry.

Szpiro, George G.  Pricing the Future:  Finance, Physics, and the 300-Year Journey to the Black-Scholes Equation.  New York:  Basic Books (2011).  The history of the model, with all of the fascinating details tied together.  Highly recommended.

Taleb, Nassim Nicholas.  Antifragile:  Things that Gain from Disorder.  New York:  Random House (2012).  Here Taleb explains why disorder is a good thing.

Taleb, Nassim Nicholas.  The Black Swan:  The Impact of the Highly Improbable.  New York:  Random House (2007).  Here Taleb takes us on a philosophical journey into the world of the black swan, a world we all live in and don't know it.

Taleb, Nassim Nicholas.  Fooled by Randomness:  The Hidden Role of Chance in the Markets and in Life.  New York:  Texere (2001).  One of the most outspoken critics of VAR and many other well-known financial models speaks out on how randomness fools us into thinking we see something that isn't there.

Weatherall, James Owen.  The Physics of Wall Street:  A Brief History of Predicting the Unpredictable.  Boston:  Houghton Mifflin (2013).  A good read on the subject, but similar to Scott Patterson's book and not as good.


Specialized Periodicals


Risk Professional

Derivatives Strategy (no longer publishing)

The Journal of Futures Markets

Mathematical Finance

The Review of Futures Markets

Journal of Alternative Investments

The Journal of Credit Risk

The Journal of Derivatives

Journal of Derivatives Accounting (no longer publishing)

Journal of Risk Model Validation

Applied Mathematical Finance

Derivatives Quarterly (formerly published by Institutional Investor, it is no longer publishing)

The Review of Derivatives Research

Finance and Stochastics

Journal of Computational Finance

Journal of Risk

Journal of Risk Management in Financial Institutions

Journal of Fixed Income



Global Association of Risk Professionals

International Association of Financial Engineers

Professional Risk Managers International Association


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Last updated:  July 30, 2013