A Short Introduction to Arbitrage Theory and Pricing in Mathematical Finance

An open textbook that builds option pricing from the binomial model to Black-Scholes, then shows how to compute prices with numerical methods. Includes exercises and computational examples throughout.

Arash Fahim

Lecture notes on financial derivatives: forwards, futures and options, payoff functions, the binomial tree and the Black-Scholes model. A rigorous and complete course for math students.

I-Liang Chern

Graduate lecture notes on interest rate calculations, bond portfolios, interest rate models, futures and options. They cover the binomial model, Black-Scholes, currency and interest rate options and volatility trading, with plenty of figures.

Paul Söderlind

Lecture notes that introduce mathematical finance through the binomial model: portfolios, arbitrage, martingales and the pricing of contingent claims. They finish with the Black-Scholes formula as the limit of the discrete model.

Clare Wallace, Durham University

A short, readable introduction to how quants price derivatives. It explains arbitrage, the binomial model and the ideas behind Black-Scholes without heavy machinery.

Sandeep Juneja