Chapman and Hall/CRC Financial Mathematics Series
About the Book 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.
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 ...
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:...
C++ for Financial Mathematics
1st Edition
By John Armstrong
June 30, 2021
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 ...
Metamodeling for Variable Annuities
1st Edition
By Guojun Gan, Emiliano A. Valdez
March 31, 2021
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 ...
An Introduction to Computational Risk Management of Equity-Linked Insurance
1st Edition
By Runhuan Feng
December 18, 2020
The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in...
Counterparty Risk and Funding: A Tale of Two Puzzles
1st Edition
By Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo
December 18, 2020
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit RiskCounterparty 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 ...
Derivative Pricing: A Problem-Based Primer
1st Edition
By Ambrose Lo
December 18, 2020
The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing ...
Portfolio Rebalancing
1st Edition
By Edward E. Qian
December 18, 2020
The goal of Portfolio Rebalancing is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios based on ...
Equity-Linked Life Insurance: Partial Hedging Methods
1st Edition
By Alexander Melnikov, Amir Nosrati
September 30, 2020
This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and ...
High-Performance Computing in Finance: Problems, Methods, and Solutions
1st Edition
Edited
By M. A. H. Dempster, Juho Kanniainen, John Keane, Erik Vynckier
September 30, 2020
High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored ...
Model-free Hedging: A Martingale Optimal Transport Viewpoint
1st Edition
By Pierre Henry-Labordere
September 30, 2020
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 ...
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 ...