Books similar to Options, Futures, and Other Derivatives by John C. Hull. I need another academic book that explains the basics of quantitative finance derivatives (forward, futures, options)
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2$\begingroup$ Baxter & Rennie: Financial Calculus: An Introduction to Derivative Pricing (easy math), Shreve: Stochastic Calculus for Finance I and II (difficult math) $\endgroup$– nbbo2Mar 20, 2017 at 22:37
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2 Answers
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As mentioned by @Adam, Stochastic Calculus for Finance by Shreve is a good start if you have a reasonably strong mathematical background. Volume I is simpler, as it presents derivative pricing methods in discrete time; Volume II tackles the continuous case.
Also mentioned by @noob2, Financial Calculus: An Introduction to Derivative Pricing, by Baxter and Rennie, is an excellent choice. Both authors were working at banks at the time of the writing (Merrill Lynch and Nomura), so they present the whole theory in very intuitive terms, while keeping the math level to a reasonably standard.
If you read French, another good option is Finance de Marché by Poncet and Portait. It is an excellent book, striking a right balance between Options, Futures, and Other Derivatives and Stochastic Calculus for Finance. It is a pity it is not translated.
answered Mar 21, 2017 at 21:11
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Seconded Shreve's Stochastic Calculus for Finance I and II, if you have the mathematical background.
The one I worked with is Introduction to the Mathematics of Finance, by Roman. About a senior undergraduate/first year graduate level, most of it will be setting up discrete time probability spaces (for the lattice model) and then briefly extending that into stochastics/Black-Scholes.
