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.

42 Series Titles

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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, M. A. H. Dempster
December 15, 2017

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...

Portfolio Rebalancing

Portfolio Rebalancing

Forthcoming

Edward E. Qian
December 15, 2017

The goal of this book 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. The empirical analysis,...

An Introduction to Computational Risk Management of Equity-Linked Insurance

An Introduction to Computational Risk Management of Equity-Linked Insurance

Forthcoming

Runhuan Feng
November 30, 2017

The book will be devoted to quantitative models and computational techniques for risk management of equity-linked insurance. Although there have been research papers on the valuation of a great variety of investment guarantee products, they were primarily based on financial option pricing theory...

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation

Forthcoming

Aleksandar Mijatovic, Martijn Pistorius
November 15, 2017

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...

Equity-Linked Life Insurance: Partial Hedging Approach

Equity-Linked Life Insurance: Partial Hedging Approach

Forthcoming

Alexander Melnikov, Amir Nosrati
October 30, 2017

This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and...

Risk Analytics and Management in Finance and Insurance

Risk Analytics and Management in Finance and Insurance

Forthcoming

Tze Leung Lai, Haipeng Xing
October 01, 2017

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...

Model-free Hedging: A Martingale Optimal Transport Viewpoint

Model-free Hedging: A Martingale Optimal Transport Viewpoint

Forthcoming

Pierre Henry-Labordere
July 12, 2017

This book focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transportation, highlighting the differences between the optimal transport (in short OT...

C++ for Financial Mathematics

C++ for Financial Mathematics

John Armstrong
December 21, 2016

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need...

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

Olivier Gueant
April 01, 2016

This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal...

Stochastic Volatility Modeling

Stochastic Volatility Modeling

Lorenzo Bergomi
January 05, 2016

Packed with insights, Lorenzo Bergomi’s Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including: Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance...

Commodities

Commodities

M. A. H. Dempster, Ke Tang
November 18, 2015

Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity...

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...

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