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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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Equity-Linked Life Insurance: Partial Hedging Methods

Equity-Linked Life Insurance: Partial Hedging Methods

Alexander Melnikov, Amir Nosrati
September 11, 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

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

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

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++....

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