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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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Nonlinear Option Pricing

Nonlinear Option Pricing

1st Edition

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++

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

1st Edition

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

Introduction to Risk Parity and Budgeting

1st Edition

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...

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance

2nd Edition

Masaaki Kijima
April 18, 2013

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...

Computational Methods in Finance

Computational Methods in Finance

1st Edition

Ali Hirsa
September 05, 2012

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...

Option Valuation: A First Course in Financial Mathematics

Option Valuation: A First Course in Financial Mathematics

1st Edition

Hugo D. Junghenn
November 23, 2011

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...

Introduction to Credit Risk Modeling

Introduction to Credit Risk Modeling

2nd Edition

Christian Bluhm, Ludger Overbeck, Christoph Wagner
June 02, 2010

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...

Portfolio Optimization

Portfolio Optimization

1st Edition

Michael J. Best
March 09, 2010

Eschewing a more theoretical approach, Portfolio Optimization shows how the mathematical tools of linear algebra and optimization can quickly and clearly formulate important ideas on the subject. This practical book extends the concepts of the Markowitz "budget constraint only" model to a linearly...

Monte Carlo Methods and Models in Finance and Insurance

Monte Carlo Methods and Models in Finance and Insurance

1st Edition

Ralf Korn, Elke Korn, Gerald Kroisandt
February 26, 2010

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...

Unravelling the Credit Crunch

Unravelling the Credit Crunch

1st Edition

David Murphy
June 08, 2009

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...

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing

1st Edition

Pierre Henry-Labordère
September 22, 2008

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...

Credit Risk: Models, Derivatives, and Management

Credit Risk: Models, Derivatives, and Management

1st Edition

Niklas Wagner
May 28, 2008

Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable...

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