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Book Series

Chapman and Hall/CRC Financial Mathematics Series

Series Editor: Michael Dempster, Dilip B. Madan, RAMA CONT

New and Published Books

1-10 of 32 results in Chapman and Hall/CRC Financial Mathematics Series
  1. Counterparty Risk and Funding

    A Tale of Two Puzzles

    By Stéphane Crépey, Tomasz R. Bielecki, Damiano Brigo

    Series: Chapman and Hall/CRC Financial Mathematics Series

    Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty 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...

    Published June 22nd 2014 by Chapman and Hall/CRC

  2. Financial Mathematics

    A Comprehensive Treatment

    By Giuseppe Campolieti, Roman N. Makarov

    Series: Chapman and Hall/CRC Financial Mathematics Series

    Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of...

    Published March 11th 2014 by Chapman and Hall/CRC

  3. Stochastic Finance

    An Introduction with Market Examples

    By Nicolas Privault

    Series: Chapman and Hall/CRC Financial Mathematics Series

    Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of...

    Published December 19th 2013 by Chapman and Hall/CRC

  4. Nonlinear Option Pricing

    By Julien Guyon, Pierre Henry-Labordere

    Series: Chapman and Hall/CRC Financial Mathematics Series

    New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research—including Risk magazine’s 2013 Quant of the Year—Nonlinear Option...

    Published December 18th 2013 by Chapman and Hall/CRC

  5. Quantitative Finance

    An Object-Oriented Approach in C++

    By Erik Schlogl

    Series: Chapman and Hall/CRC Financial Mathematics Series

    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++....

    Published November 18th 2013 by Chapman and Hall/CRC

  6. Introduction to Risk Parity and Budgeting

    By Thierry Roncalli

    Series: Chapman and Hall/CRC Financial Mathematics Series

    Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular...

    Published July 15th 2013 by Chapman and Hall/CRC

  7. Stochastic Processes with Applications to Finance, Second Edition

    By Masaaki Kijima

    Series: Chapman and Hall/CRC Financial Mathematics Series

    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...

    Published April 17th 2013 by Chapman and Hall/CRC

  8. Computational Methods in Finance

    By Ali Hirsa

    Series: Chapman and Hall/CRC Financial Mathematics Series

    As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex...

    Published September 4th 2012 by CRC Press

  9. Monte Carlo Simulation with Applications to Finance

    By Hui Wang

    Series: Chapman and Hall/CRC Financial Mathematics Series

    Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a...

    Published May 21st 2012 by Chapman and Hall/CRC

  10. An Introduction to Exotic Option Pricing

    By Peter Buchen

    Series: Chapman and Hall/CRC Financial Mathematics Series

    In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author...

    Published February 2nd 2012 by Chapman and Hall/CRC