Chapman and Hall/CRC Financial Mathematics Series

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1 - 12 of 39 Series Titles

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Stochastic Volatility

Published:

September 15, 2015

Author(s):

Lorenzo Bergomi


Active Risk Management: Financial Models and Statistical Methods

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 

Financial Modelling with Jump Processes, Second Edition

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, 

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

Published:

June 15, 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 

Commodities

Published:

April 26, 2015

Editor(s):

M. A. H. Dempster, Ke Tang

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

Published:

April 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 

Counterparty Risk and Funding: A Tale of Two Puzzles

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 

Financial Mathematics: A Comprehensive Treatment

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 

Stochastic Finance: An Introduction with Market Examples

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 

Nonlinear Option Pricing

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 

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

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++. 

Introduction to Risk Parity and Budgeting

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