Four pages. The formulas that matter, and the notes that don’t make it into textbooks.
Most cheat sheets give you Black-Scholes and stop. This one runs from Ito’s lemma to XVA, and between the formulas are the things you only learn on a desk: why CIR needs full truncation, why Hagan’s SABR misbehaves at low strikes, why CDS-implied intensities run at twice historical default rates.
What’s inside
- Stochastic calculus — Ito’s lemma (1D and multidimensional), quadratic variation, the product rule, Ito isometry, the generator, Feynman-Kac, Tanaka and local time.
- Measure change — Girsanov, Novikov, numeraires, the forward measure and why choosing well makes drifts vanish.
- The processes you’ll meet — OU, CIR with the Feller condition, Heston, SABR, Merton jump-diffusion, Levy-Khintchine.
- The volatility surface — Breeden-Litzenberger, Dupire, variance swap replication, and what butterfly and calendar arbitrage look like.
- Numerics — Euler and Milstein, strong versus weak convergence, standard errors, and which variance reduction to reach for first.
- Rates and credit — affine term structure, the HJM drift restriction, multi-curve and RFR, hazard rates, CDS spread bootstrapping.
- XVA — exposure profiles, EE versus PFE, CVA, FVA, netting and wrong-way risk.
- A validation checklist — the six checks worth running before you trust any number.
Who it’s for
Quants, risk and XVA practitioners, and anyone preparing for quant interviews who wants the whole map on four pages rather than four hundred.
It’s free. Drop your email below and it’s yours.