Where is Mom? Does she have any mental health issues he could have inherited? Substance abuse? A tendency to abuse alcohol and drugs IS inherited. I have two adopted kids I have had to tell many times that if they "experimented" with drugs they are at a higher risk to become addicted because they are genetically sensitive to that. Many of our kids are secretly and very craftily using drugs and we don't know it. Your son could be one.
Has your son seen a psychiatrist? A neuropsychologist? You could have him completely evaluated and go from there. There is no magic bullet with these types of kids. They are very rebellious and it is hard to put rules down that they won't break. When my daughter broke the law, I did call the police in an attempt to shock her out of her drug use. One thing that did make my daughter at least TRY to do better was tying her behavior to use of the car. I'd tell him no Driver's Ed or car license unless he turned it around. That's one thing that teens really care about. Do you pay for his cell, his internet? You can cut that off if he refuses to listen to the rules. Have you ever checked his cell phone or Facebook to see what is REALLY going on with him? He is a minor and if he is being disrespectful and breaking the rules in your house (yes, it's YOUR house, not his), you have every right to snoop around to see exactly what sort of activities your child is involved in. He could be into dangerous stuff, even if he hides it, and as a dad I'm sure you'd want to know so you could try to curb his self-destruction. Only four years left until you can no longer legally do anything.
If it turns out his behavior is not made worse by drug use, including pot and alcohol, then I would amp up the therapy. Cutting is serious. My daughter did it and told me "I did it to feel something" and also "it gets addictive. It was hard to stop." Anxiety and depression are both treatable, but the require hard work on the part of the patient and often medication is helpful. I have both (anxiety/depression). I found cognitive behavioral therapy far more helpful than just talking. Just talking didn't help me because nothing was taught. I just talked. Cognitive therapy taught me coping skills to temper my anxiety and help the depression. Just a few thoughts...take what you like and discard the rest.
Eventually my daughter got her act together, but required a lot of heartache, attempts at helping her that she wouldn't do, and finally making her leave at eighteen. I like tough love on teens and above. She did end up quitting drugs, even cigarettes and is very productive, happy and loving today.
If you can find a therapeutic boarding school you can afford, I've heard good things about them.
I'm sorry you are hurting today.