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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 includes 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, and can be found across many of the texts.

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Introductory Mathematical Analysis for Quantitative Finance

Introductory Mathematical Analysis for Quantitative Finance

1st Edition

Forthcoming

Daniele Ritelli, Giulia Spaletta
March 16, 2020

Introductory Mathematical Analysis for Quantitative Finance is a textbook designed to enable students with little knowledge of mathematical analysis to fully engage with modern quantitative finance. A basic understanding of dimensional Calculus and Linear Algebra is assumed. The exposition of the...

Financial Modelling in Commodity Markets

Financial Modelling in Commodity Markets

1st Edition

Forthcoming

Viviana Fanelli
December 16, 2019

  Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets. The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets...

American-Style Derivatives: Valuation and Computation

American-Style Derivatives: Valuation and Computation

1st Edition

Jerome Detemple
October 23, 2019

While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the...

Modeling Fixed Income Securities and Interest Rate Options

Modeling Fixed Income Securities and Interest Rate Options

1st Edition

Robert Jarrow
September 30, 2019

  Modeling Fixed Income Securities and Interest Rate Options, Third Edition presents the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could...

Structured Credit Portfolio Analysis, Baskets and CDOs

Structured Credit Portfolio Analysis, Baskets and CDOs

1st Edition

Christian Bluhm, Ludger Overbeck
September 19, 2019

The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long...

Engineering BGM

Engineering BGM

1st Edition

Alan Brace
September 19, 2019

Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its developers, Engineering BGM builds progressively from simple to more sophisticated versions of the BGM model, offering a range of...

Metamodeling for Variable Annuities

Metamodeling for Variable Annuities

1st Edition

Guojun Gan, Emiliano A. Valdez
July 11, 2019

This book is devoted to the mathematical methods of metamodeling that can be used to speed up the valuation of large portfolios of variable annuities. It is suitable for advanced undergraduate students, graduate students, and practitioners. It is the goal of this book to describe the computational...

An Introduction to Financial Mathematics: Option Valuation

An Introduction to Financial Mathematics: Option Valuation

2nd Edition

Hugo D. Junghenn
March 08, 2019

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives. The book consists of fifteen chapters, the first ten of which develop option valuation techniques in discrete time, the last...

Interest Rate Modeling: Theory and Practice, Second Edition

Interest Rate Modeling: Theory and Practice, Second Edition

2nd Edition

Lixin Wu
February 25, 2019

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with...

Portfolio Rebalancing

Portfolio Rebalancing

1st Edition

Edward E. Qian
November 06, 2018

The goal of Portfolio Rebalancing is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios based on...

Stochastic Financial Models

Stochastic Financial Models

1st Edition

Douglas Kennedy
September 10, 2018

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...

Derivative Pricing: A Problem-Based Primer

Derivative Pricing: A Problem-Based Primer

1st Edition

Ambrose Lo
June 27, 2018

The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing...

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