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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 includes 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, and can be found across many of the texts.

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Introduction to Stochastic Finance with Market Examples

Introduction to Stochastic Finance with Market Examples

2nd Edition

Forthcoming

By Nicolas Privault
November 15, 2022

Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in ...

Introducing Financial Mathematics Theory, Binomial Models, and Applications

Introducing Financial Mathematics: Theory, Binomial Models, and Applications

1st Edition

Forthcoming

By Mladen Victor Wickerhauser
November 10, 2022

This book seeks to replace existing books with a more rigorous stand-alone text that covers fewer examples but with more proofs, and also provides example computer programs, mainly in Octave/Matlab but also as spreadsheets and Macsyma scripts, with which students may experiment on real data, The ...

Commodities Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition

Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition

2nd Edition

Forthcoming

Edited By M. A. H. Dempster, Ke Tang
October 31, 2022

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. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second...

Stochastic Modelling of Big Data in Finance

Stochastic Modelling of Big Data in Finance

1st Edition

Forthcoming

By Anatoliy Swishchuk
October 20, 2022

Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and ...

Quantitative Finance with Python A Practical Guide to Investment Management, Trading, and Financial Engineering

Quantitative Finance with Python: A Practical Guide to Investment Management, Trading, and Financial Engineering

1st Edition

By Chris Kelliher
May 20, 2022

Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students ...

Pricing Models of Volatility Products and Exotic Variance Derivatives

Pricing Models of Volatility Products and Exotic Variance Derivatives

1st Edition

By Yue Kuen Kwok, Wendong Zheng
May 14, 2022

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on...

Optional Processes Theory and Applications

Optional Processes: Theory and Applications

1st Edition

By Mohamed Abdelghani, Alexander Melnikov
April 29, 2022

It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes:...

Risk Measures and Insurance Solvency Benchmarks Fixed-Probability Levels in Renewal Risk Models

Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models

1st Edition

By Vsevolod K. Malinovskii
July 22, 2021

Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models is written for academics and practitioners who are concerned about potential weaknesses of the Solvency II regulatory system. It is also intended for readers who are interested in pure and applied ...

Malliavin Calculus in Finance Theory and Practice

Malliavin Calculus in Finance: Theory and Practice

1st Edition

By Elisa Alos, David Garcia Lorite
July 14, 2021

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain random ...

Financial Mathematics A Comprehensive Treatment in Discrete Time

Financial Mathematics: A Comprehensive Treatment in Discrete Time

2nd Edition

By Giuseppe Campolieti, Roman N. Makarov
July 09, 2021

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook ...

Machine Learning for Factor Investing: R Version

Machine Learning for Factor Investing: R Version

1st Edition

By Guillaume Coqueret, Tony Guida
September 01, 2020

Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for ...

Handbook of Financial Risk Management

Handbook of Financial Risk Management

1st Edition

By Thierry Roncalli
April 15, 2020

Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the...

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