Chapman and Hall/CRC Financial Mathematics Series

Series Titles

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1 - 12 of 40 Series Titles

High-Performance Computing in Finance: Problems, Methods, and Solutions

Erik Vynckier, Juho Kanniainen, John Keane

October 26, 2015


Stochastic Volatility

Lorenzo Bergomi

September 15, 2015


Optimal Execution and Liquidation in Finance

Olivier Gueant

August 15, 2015


Active Risk Management: Financial Models and Statistical Methods

Tze Leung Lai, Haipeng Xing

June 26, 2015

Following the recent financial crisis, risk management in financial institutions, particularly in banks, has attracted widespread attention and discussion. Novel modeling approaches and courses to educate future professionals in industry, government, and academia are of timely relevance. This book 

Financial Modelling with Jump Processes, Second Edition

Peter Tankov, Rama Cont

June 15, 2015

Including a new chapter on credit risk modelling and new developments in econometrics, the new edition of this bestselling resource provides an accessible overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, 

Market Risk Management: A Practitioner's Guide with Excel and VBA

Nigel DaCosta Lewis

June 15, 2015

Market risk management is a new and rapidly evolving field that until now, has lacked a practical, quickly digestible reference on the theory that underpins its everyday practice. This book fills that gap, bringing together the very latest in the theory, practice, and policies of market risk 

Commodities

M. A. H. Dempster, Ke Tang

April 26, 2015

This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodity prices and the real economy and other financial markets. After an extensive theoretical and practical introduction, the book is divided into four parts 

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation

Aleksandar Mijatovic, Martijn Pistorius

April 15, 2015

This book presents a thorough treatment of tractable pricing algorithms and models for derivative markets. It discusses the fundamentals of pricing theory, ideal for students and practitioners beginning their careers. The book also covers cutting-edge modeling and risk management issues stemming 

Counterparty Risk and Funding: A Tale of Two Puzzles

Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo

June 23, 2014

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative 

Financial Mathematics: A Comprehensive Treatment

Giuseppe Campolieti, Roman N. Makarov

March 12, 2014

Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of 

Stochastic Finance: An Introduction with Market Examples

Nicolas Privault

December 20, 2013

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of 

Nonlinear Option Pricing

Julien Guyon, Pierre Henry-Labordere

December 19, 2013

New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research—including Risk magazine’s 2013 Quant of the Year—Nonlinear Option 

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