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.
American-Style Derivatives: Valuation and Computation
1st Edition
By 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 ...
Risk Analysis in Finance and Insurance
2nd Edition
By Alexander Melnikov
September 25, 2019
Risk Analysis in Finance and Insurance, Second Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Taking into account the interdisciplinary nature of risk analysis, the author discusses many ...
Engineering BGM
1st Edition
By 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...
Structured Credit Portfolio Analysis, Baskets and CDOs
1st Edition
By 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 ...
Stochastic Financial Models
1st Edition
By Douglas Kennedy
September 10, 2018
Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical ...
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...
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
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...
Quantitative Finance: An Object-Oriented Approach in C++
1st Edition
By Erik Schlogl
November 19, 2013
Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. ...
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 ...
Unravelling the Credit Crunch
1st Edition
By David Murphy
June 08, 2009
Fascinating Insight into How the Financial System Works and How the Credit Crisis AroseClearly supplies details vital to understanding the crisis Unravelling the Credit Crunch provides a clearly written, comprehensive account of the current credit crisis that is easily understandable to ...
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
1st Edition
By Pierre Henry-Labordère
September 22, 2008
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously ...