Available on Amazon: US, UKThe book of course discusses quant models. It also explains key aspects of the modern derivatives business to project a bigger picture:? Real-life models, multi-curve environments, volatility smile/skew;? Practical interest rate smile models, including the Libor Local Vol model;? Key equity and interest rate products - payoff features and risk characteristics;? Regulations and impact of MIFID, KYC, PRIIPs (KIDs), principles of risk-based capital/liquidity rules in Basel 3, FRTB, etc;? Derivative products manufacturing process and value chain, structured product wrappers, distribution channels and impact of e-platforms.

Looks like the result of a rather Herculean task! I flipped through the Amazon preview and I am sure I could learn a few things from actually reading it. I was surprised by the lack of a chapter on CDS (not the least given that CVA is covered), and I am sure some people will complain about the lack of a general XVA discussion, but I am also very sympathetic to the idea that you have to draw the line somewhere in order to complete a project.

Congratulations!I am interested as well in chapter 16 (CVA), in particular 1) 1,2,..., n factors?2) American options3) Kinds of Monte Carlos used.Are these discussed?

Thanks.Chapter 16 discusses applying the Grid Monte Carlo technique to portfolio CVA calculation. The example portfolio includes a Bermudan swaption. In the context of XVA calculation, Grid Monte Carlo is much more efficient than American Monte Carlo...

Bought it at the Wiley stand during the Global Derivatives event.It is a good book, with practical details (like CME x LCH basis) showing how up-to-date it is.It doesn't have as much on FX as I would like, but it covers a wide range of products and most modern developments in models.Recommended.

Qu, this looks like a good book. Quick question, the chapter on basket options, what does it cover? Do you expand on your earlier papers on basket options for example?

Great book

Qu, this looks like a good book. Quick question, the chapter on basket options, what does it cover? Do you expand on your earlier papers on basket options for example?

Yes, it is much expanded to include basket pricing models comparison, discussions on correlation skew methodology, and multi-step copula for pricing auto-callable baskets.

Very good book, offering a peek behind the practitioner's curtain. What I found especially useful was the discussion of practicalities related to implementing local volatility models, including in interest rate space.   

I intend to use it as a reference for my options pricing lecture. Highly recommendable.