The Derivatives Academy is an online textbook on derivatives and structured products. I had low expectations – the book is associated with a training course run by the author – but it’s actually rather good.

The book is written by a practitioner and for a practitioner: even for some of the more exotic products (whose chapters, I confess I skimmed), de Bellefroid focuses on practically relevant matters like hedge ratios rather than the deep stochastic calculus in which other texts bathe.

I found Chapters 1-6 to be at the perfect level of abstraction for an intern or new hire who needs to rapidly understand the meaning of the fancy terms flying between traders. The introduction to volatility surfaces is accessible, quickly striking at important things without getting bogged down in the minutiae of modelling (a welcome contrast to The Volatility Surface by Gatheral).

The Derivatives Academy helps illuminate the map of complex topics surrounding derivatives, but don’t expect to come out knowing how to fit a Heston model!