Financial Mathematics

Written by an experienced researcher and portfolio manager who coined the term "risk parity," this book provides readers with a practical understanding of the risk parity investment approach. It uses fundamental, quantitative, and historical analysis to address the merit of risk parity as well as th..

This book is devoted to mathematical models for execution problems in finance. The book presents a general framework—inspired by the Almgren-Chriss approach—for optimal execution problems and demonstrates its use across a wide range of areas. The book covers applications to the different types of ex..