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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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Stochastic Finance A Numeraire Approach

Stochastic Finance: A Numeraire Approach

1st Edition

By 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

By Pierre Henry-Labordere
May 18, 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

By 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

By 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

By 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...

Counterparty Risk and Funding A Tale of Two Puzzles

Counterparty Risk and Funding: A Tale of Two Puzzles

1st Edition

By 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 ...

Stochastic Finance An Introduction with Market Examples

Stochastic Finance: An Introduction with Market Examples

1st Edition

By 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

1st Edition

By 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 ...

Introduction to Risk Parity and Budgeting

Introduction to Risk Parity and Budgeting

1st Edition

By Thierry Roncalli
July 16, 2013

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular ...

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance

2nd Edition

By Masaaki Kijima
April 18, 2013

Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of ...

Computational Methods in Finance

Computational Methods in Finance

1st Edition

By Ali Hirsa
September 05, 2012

As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex ...

Introduction to Credit Risk Modeling

Introduction to Credit Risk Modeling

2nd Edition

By Christian Bluhm, Ludger Overbeck, Christoph Wagner
June 02, 2010

Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model ...

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