Chapman and Hall/CRC Financial Mathematics Series

About the Series

The field of financial mathematics forms an ever-expanding slice of the financial sector. This series aims to capture new developments and summarize what is known over the whole spectrum of this field. It will include a broad range of textbooks, reference works, and handbooks that are meant to appeal to both academics and practitioners. The inclusion of numerical code and concrete real-world examples is highly encouraged.

Series Titles

Per Page:

1 - 12 of 37 Series Titles

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation


Aleksandar Mijatovic, Martijn Pistorius

March 15, 2016

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 

Optimal Execution and Liquidation in Finance


Olivier Gueant

March 15, 2016

This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in a wide range of areas. The book covers applications to the different types 

Stochastic Volatility


Lorenzo Bergomi

December 15, 2015

Requiring only elementary familiarity with the models and concepts of mathematical finance, this book explains how stochastic volatility can be used to address actual pricing and hedging issues arising in derivatives modeling, particularly with regards to equity derivatives. Starting with a 

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


Erik Vynckier, Juho Kanniainen, John Keane

October 26, 2015

This general book on high-performance computing in finance is academically and pragmatically relevant as it is built around real-life challenges. The text covers the newest techniques such as automatic differentiation, dataflow, and large scale computation for Basel III, Solvency II, and stochastic 

Active Risk Management: Financial Models and Statistical Methods


Tze Leung Lai, Haipeng Xing

October 15, 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 



M. A. H. Dempster, Ke Tang

July 15, 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 

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 

Quantitative Finance: An Object-Oriented Approach in C++

Erik Schlogl

November 19, 2013

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++. 

Introduction to Risk Parity and Budgeting

Thierry Roncalli

July 16, 2013

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 

Series Authors