This is a comprehensive reference tool for the mathematics needed to model derivatives written by Robert Navin, a successful quant. The Mathematics of Derivatives gives readers - from beginners with a background in math, computer science and/or finance and economics to intermediate/advanced learners - the knowledge to implement algorithms to model derivatives. Some of the topics discussed within this detailed resource include stochastic processes; partial differential equations (PDEs) of derivative pricing; and numerical algorithmic methods for solving parabolic PDEs by the finite difference method, together with the simple default probability approach to credit derivatives. The Mathematics of Derivatives also contains a brief overview of more general models, such as the Heath Jarrow Morton (HJM) model, as well as some specific examples of modeling derivatives, such as convertible bonds and collateralized debt obligations.