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.

38 Series Titles

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Portfolio Rebalancing

Portfolio Rebalancing

Forthcoming

Edward E. Qian
March 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,...

Active Risk Management: Financial Models and Statistical Methods

Active Risk Management: Financial Models and Statistical Methods

Forthcoming

Tze Leung Lai, Haipeng Xing
February 15, 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...

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation

Stochastic Volatilty with Jumps: Models, Algorithms and Implementation

Forthcoming

Aleksandar Mijatovic, Martijn Pistorius
December 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...

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
September 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...

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++....

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