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Required Reading List:

Important Reference Works:

  • Black, Fischer and Scholes, Myron, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, (1973) 81:637—654.
  • Black, Keith H. How the VIX Ate My Kurtosis.” Presentation at the January 27, 2005 Meeting of the Chicago QWAFAFEW Group.
  • Black, Keith H. “Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis.” The Journal of Trading. (Spring 2006).
  • Demeterfi, K., E.Derman, M. Kamal J. Zhou, 1999, “More than You Ever Wanted to Know about Volatility Swaps,” March 1999, Goldman Sachs Quantitative Strategies Research Notes.
  • Whaley, Robert E.,1993, “Derivatives on Market Volatility: Hedging Tools Long Overdue,” Journal of Derivatives 1 (Fall 1993), pp. 71—84.
  • “VIX White Paper”