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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.

**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 ...

**Mohamed Abdelghani, Alexander Melnikov**

July 14, 2020

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:...

**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...

**Daniele Ritelli, Giulia Spaletta**

April 15, 2020

Introductory Mathematical Analysis for Quantitative Finance is a textbook designed to enable students with little knowledge of mathematical analysis to fully engage with modern quantitative finance. A basic understanding of dimensional Calculus and Linear Algebra is assumed. The exposition of the ...

**Viviana Fanelli**

December 09, 2019

Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets. The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and ...

**Jerome Detemple**

October 23, 2019

While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are constantly emerging in response to evolving economic conditions and regulations. Focusing on recent developments in the ...

**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 ...

**Alan Brace**

September 19, 2019

Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its developers, Engineering BGM builds progressively from simple to more sophisticated versions of the BGM model, offering a range of...

**Christian Bluhm, Ludger Overbeck**

September 19, 2019

The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long ...

**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 ...

**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 ...

**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 ...