Series: Chapman and Hall/CRC Financial Mathematics Series

Series Editor(s): Michael Dempster, Dilip B. Madan, RAMA CONT



Viewing: 1 - 25 of 36
Published:
June 26, 2015
Author(s):
Tze Leung Lai, Haipeng Xing
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 
Published:
June 15, 2015
Author(s):
Peter Tankov, Rama Cont
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, 
Published:
April 26, 2015
Editor(s):
M. A. H. Dempster, Ke Tang

Published:
March 15, 2015
Author(s):
Aleksandar Mijatovic, Martijn Pistorius
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 
Published:
January 26, 2015
Author(s):
Nigel DaCosta Lewis
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 
Published:
June 23, 2014
Author(s):
Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo
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 
Published:
March 12, 2014
Author(s):
Giuseppe Campolieti, Roman N. Makarov
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 
Published:
December 20, 2013
Author(s):
Nicolas Privault
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 
Published:
December 19, 2013
Author(s):
Julien Guyon, Pierre Henry-Labordere
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 
Published:
November 19, 2013
Author(s):
Erik Schlogl
Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. 
Published:
July 16, 2013
Author(s):
Thierry Roncalli
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular 
Published:
April 18, 2013
Author(s):
Masaaki Kijima
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of 
Published:
September 05, 2012
Author(s):
Ali Hirsa
As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex 
Published:
May 22, 2012
Author(s):
Hui Wang
Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a 
Published:
February 03, 2012
Author(s):
Peter Buchen
In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author 
Published:
November 23, 2011
Author(s):
Hugo D. Junghenn
Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the 
Published:
April 25, 2011
Author(s):
Alexander Melnikov
Risk Analysis in Finance and Insurance, Second Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Taking into account the interdisciplinary nature of risk analysis, the author discusses many 
Published:
January 06, 2011
Author(s):
Jan Vecer
Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for 
Published:
June 02, 2010
Author(s):
Christian Bluhm, Ludger Overbeck, Christoph Wagner
Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model 
Published:
February 26, 2010
Author(s):
Ralf Korn, Elke Korn, Gerald Kroisandt
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the 
Published:
January 15, 2010
Author(s):
Douglas Kennedy
Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical 
Published:
June 08, 2009
Author(s):
David Murphy
Fascinating Insight into How the Financial System Works and How the Credit Crisis AroseClearly supplies details vital to understanding the crisis Unravelling the Credit Crunch provides a clearly written, comprehensive account of the current credit crisis that is easily understandable to 
Published:
May 14, 2009
Author(s):
Lixin Wu
Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical 
Published:
December 22, 2008
Editor(s):
M.A.H. Dempster, Gautam Mitra, Georg Pflug
The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the 
Published:
September 22, 2008
Author(s):
Pierre Henry-Labordère
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously 

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