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.
Commodities Fundamental Theory of Futures, Forwards, and Derivatives Pricing
Quantitative Finance with Python A Practical Guide to Investment Management, Trading, and Financial Engineering
Optional Processes Theory and Applications
Risk Measures and Insurance Solvency Benchmarks Fixed-Probability Levels in Renewal Risk Models
By Elisa Alòs, Raúl Merino
December 22, 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 Kevin J. Hastings
December 21, 2022
This book 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 undergraduates, MBA, or other students in quantitative ...
By M. A. H. Dempster, Ke Tang
December 09, 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 Nicolas Privault
November 22, 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 09, 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 ...
By Anatoliy Swishchuk
November 04, 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 ...
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 ...
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 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 ...
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 ...