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.

36 Series Titles

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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...

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...

Stochastic Processes with Applications to Finance, Second Edition

Stochastic Processes with Applications to Finance, Second 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...

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