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Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portra...Savoir plus
This book provides analysis of the effects of portfolio rebalancing on portfolio returns and risks, examining when and why fixed-weight portfolios mig...Savoir plus
Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedg...Savoir plus
This book introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic...Savoir plus
The Handbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price...Savoir plus
Risk Analysis in Finance and Insurance, Third Edition presents an accessible yet comprehensive introduction to the main concepts and methods that tran...Savoir plus
Eschewing a more theoretical approach, Portfolio Optimization shows how the mathematical tools of linear algebra and optimization can quickly and clea...Savoir plus
This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides a...Savoir plus
This book is devoted to mathematical models for execution problems in finance. The book presents a general framework-inspired by the Almgren-Chriss ap...Savoir plus
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity fut...Savoir plus
Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models is written for academics and practitioners who are co...Savoir plus
Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important...Savoir plus
Published under the collective title of Foundations of Quantitative Finance, this set of 10 books develops the advanced topics in mathematics that fin...Savoir plus
This book bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portf...Savoir plus
Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Wr...Savoir plus
Computational Methods in Finance is developed from the author's courses at Columbia University and the Courant Institute of New York University. This ...Savoir plus
This textbook adopts a mathematically rigorous, widely accessible pedagogical approach, providing a formal treatment of derivative pricing methodologi...Savoir plus
Published under the collective title of Foundations of Quantitative Finance, this set of ten books presents the advanced mathematics finance professio...Savoir plus
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....Savoir plus
Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portra...Savoir plus
This book seeks to replace existing books with a more rigorous stand-alone text that covers fewer examples but with more proofs, and also provides exa...Savoir plus
High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HP...Savoir plus
This book progresses from the simple, standard Poisson process to its more complex transformations, using a unified framework, showing proofs of basic...Savoir plus
Published under the collective title of Foundations of Quantitative Finance, this set of ten books presents the advanced mathematics finance professio...Savoir plus