Mathematics for Finance

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Stochastic Volatility Modeling

1st Edition


Lorenzo Bergomi
January 5, 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 relevanc...

Risk Parity Fundamentals

1st Edition


Edward E. Qian
February 23, 2016

Discover the Benefits of Risk Parity Investing Despite recent progress in the theoretical analysis and practical applications of risk parity, many important fundamental questions still need to be answered. Risk Parity Fundamentals uses fundamental, quantitative, and historical analysis to address t...

Modeling Fixed Income Securities and Interest Rate Options

1st Edition

Robert Jarrow
September 30, 2019

  Modeling Fixed Income Securities and Interest Rate Options, Third Edition presents the basics of fixed-income securities in a way that, unlike competitive texts, requires a minimum of prerequisites. While other books focus heavily on institutional details of the bond market, all of which could...

Risk Analysis in Finance and Insurance

2nd Edition

Alexander Melnikov
September 25, 2019

Risk Analysis in Finance and Insurance, Second Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Taking into account the interdisciplinary nature of risk analysis, the author discusses many...

Metamodeling for Variable Annuities

1st Edition

Guojun Gan, Emiliano A. Valdez
July 11, 2019

This book is devoted to the mathematical methods of metamodeling that can be used to speed up the valuation of large portfolios of variable annuities. It is suitable for advanced undergraduate students, graduate students, and practitioners. It is the goal of this book to describe the computational...

Pathwise Estimation and Inference for Diffusion Market Models

1st Edition

Nikolai Dokuchaev, Lin Yee Hin
March 28, 2019

Pathwise estimation and inference for diffusion market models discusses contemporary techniques for inferring, from options and bond prices, the market participants' aggregate view on important financial parameters such as implied volatility, discount rate, future interest rate, and their...

An Introduction to Excel VBA Programming: with Applications in Finance and Insurance

1st Edition

Guojun Gan
March 22, 2019

Excel Visual Basic for Applications (VBA) can be used to automate operations in Excel and is one of the most frequently used software programs for manipulating data and building models in banks and insurance companies. An Introduction to Excel VBA Programming: with Applications in Finance and...

An Introduction to Financial Mathematics: Option Valuation

2nd Edition

Hugo D. Junghenn
March 08, 2019

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives. The book consists of fifteen chapters, the first ten of which develop option valuation techniques in discrete time, the last...

Interest Rate Modeling: Theory and Practice, Second Edition

2nd Edition

Lixin Wu
February 25, 2019

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with...

MATLAB Handbook with Applications to Mathematics, Science, Engineering, and Finance

1st Edition

Jose Miguel David Baez-Lopez, David Alfredo Baez Villegas
January 15, 2019

The purpose of this handbook is to allow users to learn and master the mathematics software package MATLAB®, as well as to serve as a quick reference to some of the most used instructions in the package. A unique feature of this handbook is that it can be used by the novice and by experienced users...

Smart Computing Applications in Crowdfunding

1st Edition

Bo Xing, Tshilidzi Marwala
December 18, 2018

The book focuses on smart computing for crowdfunding usage, looking at the crowdfunding landscape, e.g., reward-, donation-, equity-, P2P-based and the crowdfunding ecosystem, e.g., regulator, asker, backer, investor, and operator. The increased complexity of fund raising scenario, driven by the...

Portfolio Rebalancing

1st Edition

Edward E. Qian
November 06, 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...

Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis

1st Edition

Jonathan K. Regenstein, Jr.
October 08, 2018

Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis is a unique introduction to data science for investment management that explores the three major R/finance coding paradigms, emphasizes data visualization, and explains how to build a cohesive suite of functioning Shiny...

Investment and Employment Opportunities in China

1st Edition

Jeffrey Yi-Lin Forrest, Tao Lixin
September 18, 2018

Presenting the most recent statistical data, Investment and Employment Opportunities in China provides first-of-its-kind coverage of the regional economic, industrial, investment, and employment structures in China. After establishing the theoretical foundation, the rest of the book utilizes the...