Bøger i Chapman & Hall/CRC Financial Mathematics Series serien

Presents techniques that originate from practical problems and that address real requirements. This book introduces the standard lognormal flat BGM and then discusses shifted versions of BGM, including stochastic volatility version. It covers topics such as simulation, time slicing, pricing, delta hedging, vega hedging, and callable exotics.

Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations.

Incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. This book presents the methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath-Platen estimator, as well as financial and actuarial models.

Presents an overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, this text presents theoretical, numerical and empirical issues.

Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.

Reviews quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. This work presents advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation.

Suitable for professionals, this title covers the key methods and models of quantitative finance from the perspective of their implementation in C++. It introduces computational finance in a pragmatic manner, focusing on practical implementation.