The Swindler and The Swan: Hades x Persephone (Shadows of Olympus #1) by J.A. Good

When the goddess Demeter shows up to a party on Olympus in Hades' signature color he decides to react to the slight by stealing her beloved Swan. However, as soon as they cross into the Underworld the Swan changes into a woman revealing that she is Persephone, daughter of Demeter. Eager to continue his plot to annoy Demeter, Hades agrees to help Persephone break the curse on her, but he soon finds that she is nothing like he expected. What starts out as a harmless revenge scheme turns into something else entirely.

Persephone can't remember a time when she didn't spend her days as a swan and her nights as a woman. Trapped and confined to her mother's lake for her entire life, when Hades steals her she is offered a way out for the first time. While in the Underworld she won't transform and if there is one thing she knows it's that she is never going back. As a new world opens up to her she finds that the god of the Underworld is nothing like she expected and he has a lot to teach her.