Bøker i Chapman & Hall/CRC Financial Mathematics Series-serien

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.

Emphasizing the need for knowledge of modern finance theory in portfolio management, this text explains why theory should precede mathematics when it comes to money management. It presents key concepts underlying portfolio management theory, followed by examples and applied exercises to enforce understanding of concepts and principles.

This book covers statistical inference for copula and tail copula models with applications in finance, insurance and risk management.

Presents an overview of the theoretical, numerical, and empirical aspects of using jump processes in financial modeling. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models.

Presents basic concepts of credit risk modeling. This book also presents advanced topics such as the modeling and evaluation of basket products, credit-linked notes referenced to credit portfolios, collateralized debt obligations, and index tranches.

Risk management combines considerable quantitative skills with practical and intuitive competencies. Presenting both mathematical aspects and practical skills, this book introduces the foundations of risk management and shows how these concepts are used to create practical risk management systems.

Illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. This volume focuses on the application of products in the financial services industry and the market of credit derivatives.