Financial Mathematics

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

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

Master's level notes on no-arbitrage pricing in discrete time, including markets with transaction costs and other frictions. A concise path into the fundamental theorem of asset pricing.

Emmanuel Lépinette