BOOK SERIES


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.

37 Series Titles

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Active Risk Management: Financial Models and Statistical Methods

Active Risk Management: Financial Models and Statistical Methods

Forthcoming

Tze Leung Lai, Haipeng Xing
May 26, 2016

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

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

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

Forthcoming

Erik Vynckier, Juho Kanniainen, John Keane
April 30, 2016

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

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation

Forthcoming

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

Optimal Execution and Liquidation in Finance

Forthcoming

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 Modeling

Stochastic Volatility Modeling

Forthcoming

Lorenzo Bergomi
February 15, 2016

Written by a practitioner and well-known contributor to volatility modeling, this book addresses the practicalities of stochastic volatility modeling, mostly in an equity context. The author considers: Which trading issues do we tackle with stochastic volatility? What breed of stochastic

Commodities

Commodities

Forthcoming

M. A. H. Dempster, Ke Tang
November 10, 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

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

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

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

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++

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

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

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