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  4. Elements in Quantitative Finance

About the series

Cambridge Elements in Quantitative Finance aims for broad coverage of all major topics within the field. Written at a level appropriate for advanced undergraduate or graduate students and practitioners, Elements combines reports on original research covering an author’s personal area of expertise, tutorials and masterclasses on emerging methodologies, and reviews of the most important literature.

As much as possible, the attempt is made to emphasize the links between Finance and Economics, and to avoid too narrow a focus on derivatives pricing.

The Authors are encouraged to link software and illustrative code to their contributions, and each work is expected to be reviewed and enriched as developments in the various areas unfold.


Elements in this series

Series Editor

Riccardo Rebonato is Professor of Finance at EDHEC Business School and holds the PIMCO Research Chair for the EDHEC Risk Institute. He has previously held academic positions at Imperial College, London, and Oxford University and has been Global Head of Fixed Income and FX Analytics at PIMCO, and Head of Research, Risk Management and Derivatives Trading at several major international banks. He has previously been on the Board of Directors for ISDA and GARP, and he is currently on the Board of the Nine Dot Prize. He is the author of several books and articles in finance and risk management, including Bond Pricing and Yield Curve Modelling (2017, Cambridge University Press).

Contact the Editor

 If you would like more information about this series, or are interested in writing an Element, email Riccardo Rebonato at: [email protected].

Areas of interest

An indicative list of topics that will be covered in the series is given below although it is expected that the direction of the series may change over time as the series adapts to reflect advancements in scholarship.

  • Dynamic Gaussian Models
  • Stochastic Volatility in Finance 
  • Quantitative Risk Measurement
  • Monte Carlo Techniques in Finance
  • Challenges to Market Efficiency
  • Trends in Asset Management 
  • Machine Learning and AI in Finance 
  • Stress Testing and Scenario Analysis 
  • Developments in Behavioural Finance
  • Risk Premia in Equity, Fixed Income and Other Asset Classes  
  • Factor Investing
  • New Findings in Market Liquidity
  • Derivatives modelling in Fixed Income 
  • Derivatives modelling in Equities and FX
  • Credit Derivatives and Counterparty Risk
  • Building the smile surface
  • Puzzles in Finance (the equity puzzle, the momentum puzzle, etc)
  • The Stochastic Discount Factor in Finance 
  • “Nudging” and libertarian paternalism in Finance
  • Extreme Value Theory in Finance
  • Contagion in Financial Markets