New and Published Books
1-10 of 33 results in Chapman and Hall/CRC Financial Mathematics Series
A Tale of Two Puzzles
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 23rd 2014 by Chapman and Hall/CRC
A Comprehensive Treatment
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 12th 2014 by Chapman and Hall/CRC
An Introduction with Market Examples
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 20th 2013 by Chapman and Hall/CRC
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 19th 2013 by Chapman and Hall/CRC
An Object-Oriented Approach in C++
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 19th 2013 by Chapman and Hall/CRC
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 16th 2013 by Chapman and Hall/CRC
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 18th 2013 by Chapman and Hall/CRC
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 5th 2012 by CRC Press
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 22nd 2012 by Chapman and Hall/CRC
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 3rd 2012 by Chapman and Hall/CRC
Market Risk Management: A Practitioner's Guide with Excel and VBA
To Be Published January 25th 2015
Stochastic Volatilty with Jumps: Models, Algorithms and Implementation
To Be Published March 14th 2015
To Be Published April 25th 2015
Financial Modelling with Jump Processes, Second Edition
To Be Published June 14th 2015
Active Risk Management: Financial Models and Statistical Methods
To Be Published June 25th 2015