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.

Forthcoming

By **Guillaume Coqueret, Tony Guida**

July 10, 2023

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 ...

Forthcoming

By **Kevin Thomas Webster**

May 05, 2023

The Handbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price impact models to quantitative trading and portfolio management. Automated trading is now the dominant form of trading across all frequencies. ...

By **Kevin J. Hastings**

December 21, 2022

Financial Mathematics: From Discrete to Continuous Time is a study of the mathematical ideas and techniques that are important to the two main arms of the area of financial mathematics: portfolio optimization and derivative valuation. The text is authored for courses taken by advanced ...

Edited
By **M. A. H. Dempster, Ke Tang**

December 16, 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...

By **Elisa Alos, Raúl Merino**

December 15, 2022

Introduction to Financial Derivatives with Python is an ideal textbook for an undergraduate course on derivatives, whether on a finance, economics, or financial mathematics programme. As well as covering all of the essential topics one would expect to be covered, the book also includes the basis of...

By **Nicolas Privault**

December 13, 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 ...

By **Mladen Victor Wickerhauser**

November 08, 2022

Introducing Financial Mathematics: Theory, Binomial Models, and Applications seeks to replace existing books with a rigorous stand-alone text that covers fewer examples in greater detail with more proofs. The book uses the fundamental theorem of asset pricing as an introduction to linear algebra ...

By **Chris Kelliher**

May 06, 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 ...

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...

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:...

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 ...

By **Elisa Alos, David Garcia Lorite**

July 02, 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 ...