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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...Lees meer
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This book introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic...Lees meer
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Risk Analysis in Finance and Insurance, Third Edition presents an accessible yet comprehensive introduction to the main concepts and methods that tran...Lees meer
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The Handbook of Price Impact Modeling provides practitioners and students with a mathematical framework grounded in academic references to apply price...Lees meer
This book is devoted to mathematical models for execution problems in finance. The book presents a general framework-inspired by the Almgren-Chriss ap...Lees meer
Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models is written for academics and practitioners who are co...Lees meer
Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important...Lees meer
This book bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portf...Lees meer
From simple to more sophisticated versions of the BGM model, this book offers a range of methods that can be programmed into production code to suit r...Lees meer
Published under the collective title of Foundations of Quantitative Finance, this set of 10 books develops the advanced topics in mathematics that fin...Lees meer
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....Lees meer
Computational Methods in Finance is developed from the author's courses at Columbia University and the Courant Institute of New York University. This ...Lees meer
This textbook adopts a mathematically rigorous, widely accessible pedagogical approach, providing a formal treatment of derivative pricing methodologi...Lees meer
Every financial professional wants and needs an advantage. A firm foundation in advanced mathematics can translate into dramatic advantages to profess...Lees meer
Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portra...Lees meer
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...Lees meer
Intended for practitioners, researchers and graduate students in quantitative finance, computer science and related fields, this book serves as a hand...Lees meer
Published under the collective title of Foundations of Quantitative Finance, this set of ten books presents the advanced mathematics finance professio...Lees meer
This classroom-tested text provides a deep understanding of derivative contracts. Unlike much of the existing literature, the book treats price as a n...Lees meer
XVA Analysis: Probabilistic, Risk Measure, and Machine Learning Issues offers readers an up-to-date and comprehensive exploration of the X-Value Adjus...Lees meer
Intended for practitioners, researchers and graduate students in quantitative finance, computer science and related fields, this book serves as a hand...Lees meer