Includes references and index.

pt. I PRELIMINARIES --
1. Preliminaries --
1.1. Interest rates and compounding --
1.2. Zero coupon bonds and discounting --
1.3. Annuities --
1.4. Daycount conventions --
1.5. An abridged guide to stocks, bonds and FX --
1.6. Exercises --
pt. II FORWARDS, SWAPS AND OPTIONS --
2. Forward contracts and forward prices --
2.1. Derivative contracts --
2.2. Forward contracts --
2.3. Forward on asset paying no income --
2.4. Forward on asset paying known income --
2.5. Review of assumptions --
2.6. Value of forward contract --
2.7. Forward on stock paying dividends and on currency --
2.8. Physical versus cash settlement --
2.9. Summary --
2.10. Exercises --
3. Forward rates and libor --
3.1. Forward zero coupon bond prices --
3.2. Forward interest rates --
3.3. Libor --
3.4. Forward rate agreements and forward libor --
3.5. Valuing floating and fixed cashflows --
3.6. Exercises --
4. Interest rate swaps --
4.1. Swap definition --0
4.2. Forward swap rate and swap value. Contents note continued --
4.3. Spot-starting swaps --
4.4. Swaps as difference between bonds --
4.5. Exercises --
5. Futures contracts --
5.1. Futures definition --
5.2. Futures versus forward prices --
5.3. Futures on libor rates --
5.4. Exercises --
6. No-arbitrage principle --
6.1. Assumption of no-arbitrage --
6.2. Monotonicity theorem --
6.3. Arbitrage violations --
6.4. Exercises --
7. Options --
7.1. Option definitions --
7.2. Put-call parity --
7.3. Bounds on call prices --
7.4. Call and put spreads --
7.5. Butterflies and convexity of option prices --
7.6. Digital options --
7.7. Options on forward contracts --
7.8. Exercises --
pt. III REPLICATION, RISK-NEUTRALITY AND THE FUNDAMENTAL THEOREM --
8. Replication and risk-neutrality on the binomial tree --
8.1. Hedging and replication in the two-state world --
8.2. Risk-neutral probabilities --
8.3. Multiple time steps --
8.4. General no-arbitrage condition --
8.5. Exercises --
9. Martingales, numeraires and the fundamental theorem. Contents note continued --
9.1. Definition of martingales --
9.2. Numeraires and fundamental theorem --
9.3. Change of numeraire on binomial tree --
9.4. Fundamental theorem: a pragmatic example --
9.5. Fundamental theorem: summary --
9.6. Exercises --
10. Continuous-time limit and Black --
Scholes formula --
10.1. Lognormal limit --
10.2. Risk-neutral limit --
10.3. Black --
Scholes formula --
10.4. Properties of Black --
Scholes formula --
10.5. Delta and vega --
10.6. Incorporating random interest rates --
10.7. Exercises --
11. Option price and probability duality --
11.1. Digitals and cumulative distribution function --
11.2. Butterflies and risk-neutral density --
11.3. Calls as spanning set --
11.4. Implied volatility --
11.5. Exercises --
pt. IV INTEREST RATE OPTIONS --
12. Caps, floors and swaptions --
12.1. Caplets --
12.2. Caplet valuation and forward numeraire --
12.3. Swaptions and swap numeraire --
12.4. Summary --
12.5. Exercises --
13. Cancellable swaps and Bermudan swaptions. Contents note continued --
13.1. European cancellable swaps --
13.2. Callable bonds --
13.3. Bermudan swaptions --
13.4. Bermudan swaption exercise criteria --
13.5. Bermudan cancellable swaps and callable bonds --
13.6. Exercises --
14. Libor-in-arrears and constant maturity swap contracts --
14.1. Libor-in-arrears --
14.2. Libor-in-arrears convexity correction --
14.3. Classic libor-in-arrears trade --
14.4. Constant maturity swap contracts --
14.5. Exercises --
15. The Brace --
Gatarek --
Musiela framework --
15.1. BGM volatility surface --
15.2. Option price dependence on BGM volatility surface --
15.3. Exercises --
pt. V TOWARDS CONTINUOUS TIME --
16. Rough guide to continuous time --
16.1. Brownian motion as random walk limit --
16.2. Stochastic differential equations and geometric Brownian motion --
16.3. Ito's lemma --
16.4. Black-Scholes equation --
16.5. Ito and change of numeraire