Encyclopedia of Financial Models, 3 Volume Set

Inbunden, Engelska, 2012

13 158 kr

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Beskrivning

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modelingThe need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available.Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial ModelsCovers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modelingFabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex modelsOrganized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools3 Volumesonlinelibrary.wiley.comFinancial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.

Produktinformation

Utgivningsdatum:2012-12-07
Mått:213 x 262 x 127 mm
Vikt:5 098 g
Format:Inbunden
Språk:Engelska
Antal sidor:2 100
Förlag:John Wiley & Sons Inc
ISBN:9781118006733

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Mer om författaren

Frank J. Fabozzi, PhD, CFA, CPA (New Hope, PA) is Professor of Finance at the Yale School of Management. Prior to joining the Yale faculty, he was a Visiting Professor of Finance in the Sloan School at MIT. Fabozzi is a Fellow of the International Center for Finance at Yale University and the Editor of the Journal of Portfolio Management and Associate Editor of the Journal of Fixed Income. He is an Affiliated Professor at the University of Karlsruhe’s Institute of Statistics, Econometrics and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University.

Innehållsförteckning

VOLUME 1Asset AllocationMean-Variance Model for Portfolio ConstructionPrinciples for Optimization for Portfolio SelectionAsset Allocation and PortfolioConstruction Modeling in Designing the Optimal Performance-Seeking PortfolioAsset Pricing ModelsGeneral Principles of Asset PricingCapital Asset Pricing ModelsModeling Asset Price DynamicsArbitrage Pricing: Finite State ModelsArbitrage Pricing: Continuous State, Continuous Time ModelsBayesian Analysis and Financial Modeling Applications Basic Principles of Bayesian AnalysisBayesian InferenceBayesian Estimation of ARCH-Type Volatillity ModelsBayesian Linear Regression ModelBayesian Techniques and the Black-Litterman ModelBond ValuationBond Valuation ModelingRelative Value Analysis of Fixed Income ProductsYield Curves and Valuation LatticesUsing the Lattice Model to Value Bonds with Embedded Options, Floaters, and Caps/FloorsUnderstanding the Building Blocks of OAS ValuationQuantitative Models to Value Convertible BondsQuantitative Approaches to Inflation-Indexed BondsCredit Risk ModelingAn Introduction to Credit Risk ModelsDefault Correlations in Intensity Model for Credit Risk ModelingStructural Models in Credit Risk ModelingModeling Portfolio Credit RiskSimulating the Credit Loss DistributionManaging Credit Spreak Risk Using Duration Times Spread (DTS)Credit Spread DecompositionCredit Derviatives and Hedging Credit RiskDerivatives ValuationNo-Arbitrage Price Relations for Forwards, Futures and SwapsNo-Arbitrage Price Relations for OptionsIntroduction to Contingent Claim AnalysisBlack-Scholes Option Pricing ModelBasics of the Pricing of Futures/Forwards and OptionsPricing Options on Interest Rate InstrumentsBasics of Currency Option Pricing ModelsCredit Default Swaps ValuationValuation of Fixed Income Total Return SwapsPricing of Variance, Volatility, Covariance, and Correlation SwapsModeling, Valuation, and Risk Management of Assets and Derivatives in Energy and ShippingVOLUME 2Equity Models and ValuationDividend Discount ModelsDiscounted Cash Flow MethodRelative Valuation Methods for Equity AnalysisEquity Analysis in a Complex WorldEquity Portfolio Selection Models in PracticeQuantitative Equity Investing FundamentalsQuantitative Equity Portfolio ManagementForecasting Stock ReturnsFactor Models for Portfolio ConstructionFactor ModelsPrincipal Component Analysis and Factor AnalysisMultifactor Equity Risk Models and Their ApplicationsFactor-Based Equity Portfolio Construction and AnalysisCross-Sectional Factor-Based Models and Trading StrategiesThe Fundamentals of Fundamental Factor ModelingApplications of Fundamental Multifactor Equity Risk ModelsMultifactor Fixed Income Risk Models and Their ApplicationsFinancial EconometricsScope and Methods of Financial EconometricsRegression Analysis: Theory and EstimationCategorical and Dummy Variables in Regression ModelsQuantile RegressionARCH/GARCH Models in Applied Financial EconometricsClassification and Regression Trees and Their Use in Financial ModelingCointegration and Its Application in FinanceNonlinearity and Nonlinear Econometric Models in FinanceRobust Estimates of Betas and CorrelationsWorking with High-Frequency Data Financial Modeling PrinciplesMilestones in Financial ModelingFrom Art to Financial ModelingBasic Data Description for Financial Modeling and AnalysisTime Series Concepts, Representations, and ModelsExtracting Risk-Neutral Density information From Options Market PricesFinancial Statements AnalysisFinancial Ratio AnalysisFinancial StatementsCash Flow AnalysisFinite Mathematics for Financial ModelingImportant Functions and Their FeaturesTime Value of MoneyFundamentals of Matrix AlgebraDifference equationsDifferential EquationsPartial Differential Equations in FinanceModel Risk and SelectionModel RiskModel Selection and Its PitfallsManaging the Model Risk with the Methods of the Probabilitistic Decision Theory: A PrimerFat Tail ModelsVOLUME 3Mortgage-Backed Securities Analysis and ValuationValuing Mortgage-Backed and Asset-Backed SecuritiesThe Active-Passive Decomposition Model for MBSAnalysis of Nonagency Mortgage-Backed SecuritiesMeasurements of Prepayments for Residential Mortgage Backed SecuritiesPrepayments and Factors Influencing the Return of Principal for Residential Mortgage Backed SecuritiesOperational RiskOperational RiskModeling Operational Loss DistributionsOperational Risk ModelsOptimization ToolsIntroduction to Stochastic Programming and Its Applications to FinanceRobust Portfolio OptimizationProbability TheoryConcepts of Probability TheoryDiscrete Probabilty DistributionsContinuous DistributionsContinuous Distributions with Appealing PropertiesContinuous Probability Distributions Dealing with Extreme EventsStable and Tempered Stable DistributionsFat Tails, Scaling, and Stable LawsCopulasApplications of Order Statistics to Risk Management ProblemsRisk MeasuresMeasuring Interest Rate Risk: Effective Duration and ConvexityYield Curve Risk MeasuresValue at RiskAverage Value at RiskRisk Measures and Portfolio SelectionBack-Testing Market Risk ModelsEstimating Liquidity RisksEstimate of Downside Risk with Fat-Tailed and Skewed ModelsMoving Average Models for Volatility and Correlation, and Covariance MatricesSoftware for Financial ModelingIntroduction to MATLABIntroduction to VBAStochastic Processes and ToolsStochastic IntegralsStochastic Differential EquationsStochastic Processes in Continuous TimeConditional Expectation and Change of MeasureChange of Time MethodsTerm Structure ModelingThe Concept and Measures of Interest Rate VolatilityShort-Rate Term Structure ModelsStatic Term-Structure Modeling in Discrete and Continuous TimeThe Dynamic Term-Structure ModelEssential Classes of Interest Rate Models and Their UseA Review of No Arbitrage Interest Rate Models and Their UseTrading Cost ModelsModeling Market Impact CostsVolatilityMonte Carlo SimulationStochastic Volatility