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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 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.

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Interest Rate Modeling: Theory and Practice, 2nd Edition

Interest Rate Modeling: Theory and Practice, 2nd Edition

2nd Edition

Forthcoming

Lixin Wu
April 15, 2019

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical...

Portfolio Rebalancing

Portfolio Rebalancing

1st Edition

Forthcoming

Edward E. Qian
November 08, 2018

The goal of Portfolio Rebalancing 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 based on...

Derivative Pricing: A Problem-Based Primer

Derivative Pricing: A Problem-Based Primer

1st Edition

Ambrose Lo
June 27, 2018

The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing...

An Introduction to Computational Risk Management of Equity-Linked Insurance

An Introduction to Computational Risk Management of Equity-Linked Insurance

1st Edition

Runhuan Feng
June 12, 2018

The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in...

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

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

1st Edition

M. A. H. Dempster, Juho Kanniainen, John Keane, Erik Vynckier
March 12, 2018

High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored...

Equity-Linked Life Insurance: Partial Hedging Methods

Equity-Linked Life Insurance: Partial Hedging Methods

1st Edition

Alexander Melnikov, Amir Nosrati
August 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...

Stochastic Finance: A Numeraire Approach

Stochastic Finance: A Numeraire Approach

1st Edition

Jan Vecer
June 14, 2017

Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for...

Model-free Hedging: A Martingale Optimal Transport Viewpoint

Model-free Hedging: A Martingale Optimal Transport Viewpoint

1st Edition

Pierre Henry-Labordere
May 15, 2017

Model-free Hedging: A Martingale Optimal Transport Viewpoint 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 Transport, highlighting the...

C++ for Financial Mathematics

C++ for Financial Mathematics

1st Edition

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

1st Edition

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

1st Edition

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

1st Edition

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...

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