Frank J. Fabozzi

Encyclopedia of Financial Models, 3 Volume Set

Herausgeber: Fabozzi, Frank J

• Gebundenes Buch

Produktbeschreibung

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling

The 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.
This 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models
Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling
Each volume includes a complete table of contents and index for easy access to various parts of the encyclopedia

Financial 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.

Produktdetails

• Verlag: Wiley & Sons
• Artikelnr. des Verlages: 1W118006730
• 1. Auflage
• Seitenzahl: 2100
• Erscheinungstermin: 6. November 2012
• Englisch
• Abmessung: 264mm x 213mm x 126mm
• Gewicht: 5040g
• ISBN-13: 9781118006733
• ISBN-10: 1118006739
• Artikelnr.: 36262909

Autorenporträt

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 Profes-sor 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.

Inhaltsangabe

VOLUME 1 Asset Allocation Mean-Variance Model for Portfolio Construction
Principles for Optimization for Portfolio SelectionAsset Allocation and
Portfolio Construction Modeling in Designing the Optimal
Performance-Seeking Portfolio Asset Pricing Models General Principles of
Asset Pricing Capital Asset Pricing Models Modeling Asset Price Dynamics
Arbitrage Pricing: Finite State Models Arbitrage Pricing: Continuous State,
Continuous Time Models Bayesian Analysis and Financial Modeling
Applications Basic Principles of Bayesian Analysis Bayesian Inference
Bayesian Estimation of ARCH-Type Volatillity Models Bayesian Linear
Regression Model Bayesian Techniques and the Black-Litterman Model Bond
Valuation Bond Valuation Modeling Relative Value Analysis of Fixed Income
Products Yield Curves and Valuation Lattices Using the Lattice Model to
Value Bonds with Embedded Options, Floaters, and Caps/Floors Understanding
the Building Blocks of OAS Valuation Quantitative Models to Value
Convertible Bonds Quantitative Approaches to Inflation-Indexed Bonds Credit
Risk Modeling An Introduction to Credit Risk Models Default Correlations in
Intensity Model for Credit Risk Modeling Structural Models in Credit Risk
Modeling Modeling Portfolio Credit Risk Simulating the Credit Loss
Distribution Managing Credit Spreak Risk Using Duration Times Spread (DTS)
Credit Spread Decomposition Credit Derviatives and Hedging Credit Risk
Derivatives Valuation No-Arbitrage Price Relations for Forwards, Futures
and Swaps No-Arbitrage Price Relations for Options Introduction to
Contingent Claim Analysis Black-Scholes Option Pricing Model Basics of the
Pricing of Futures/Forwards and Options Pricing Options on Interest Rate
Instruments Basics of Currency Option Pricing Models Credit Default Swaps
Valuation Valuation of Fixed Income Total Return Swaps Pricing of Variance,
Volatility, Covariance, and Correlation Swaps Modeling, Valuation, and Risk
Management of Assets and Derivatives in Energy and Shipping VOLUME 2 Equity
Models and Valuation Dividend Discount Models Discounted Cash Flow Method
Relative Valuation Methods for Equity Analysis Equity Analysis in a Complex
World Equity Portfolio Selection Models in Practice Quantitative Equity
Investing Fundamentals Quantitative Equity Portfolio Management Forecasting
Stock Returns Factor Models for Portfolio Construction Factor Models
Principal Component Analysis and Factor Analysis Multifactor Equity Risk
Models and Their Applications Factor-Based Equity Portfolio Construction
and Analysis Cross-Sectional Factor-Based Models and Trading Strategies The
Fundamentals of Fundamental Factor Modeling Applications of Fundamental
Multifactor Equity Risk Models Multifactor Fixed Income Risk Models and
Their Applications Financial Econometrics Scope and Methods of Financial
Econometrics Regression Analysis: Theory and Estimation Categorical and
Dummy Variables in Regression Models Quantile Regression ARCH/GARCH Models
in Applied Financial Econometrics Classification and Regression Trees and
Their Use in Financial Modeling Cointegration and Its Application in
Finance Nonlinearity and Nonlinear Econometric Models in Finance Robust
Estimates of Betas and Correlations Working with High-Frequency Data
Financial Modeling Principles Milestones in Financial Modeling From Art to
Financial Modeling Basic Data Description for Financial Modeling and
Analysis Time Series Concepts, Representations, and Models Extracting
Risk-Neutral Density information From Options Market Prices Financial
Statements Analysis Financial Ratio Analysis Financial Statements Cash Flow
Analysis Finite Mathematics for Financial Modeling Important Functions and
Their Features Time Value of Money Fundamentals of Matrix Algebra
Difference equations Differential Equations Partial Differential Equations
in Finance Model Risk and Selection Model Risk Model Selection and Its
Pitfalls Managing the Model Risk with the Methods of the Probabilitistic
Decision Theory: A Primer Fat Tail Models VOLUME 3 Mortgage-Backed
Securities Analysis and Valuation Valuing Mortgage-Backed and Asset-Backed
Securities The Active-Passive Decomposition Model for MBS Analysis of
Nonagency Mortgage-Backed Securities Measurements of Prepayments for
Residential Mortgage Backed Securities Prepayments and Factors Influencing
the Return of Principal for Residential Mortgage Backed Securities
Operational Risk Operational Risk Modeling Operational Loss Distributions
Operational Risk Models Optimization Tools Introduction to Stochastic
Programming and Its Applications to Finance Robust Portfolio Optimization
Probability Theory Concepts of Probability Theory Discrete Probabilty
Distributions Continuous Distributions Continuous Distributions with
Appealing Properties Continuous Probability Distributions Dealing with
Extreme Events Stable and Tempered Stable Distributions Fat Tails, Scaling,
and Stable Laws Copulas Applications of Order Statistics to Risk Management
Problems Risk Measures Measuring Interest Rate Risk: Effective Duration and
Convexity Yield Curve Risk Measures Value at Risk Average Value at Risk
Risk Measures and Portfolio Selection Back-Testing Market Risk Models
Estimating Liquidity Risks Estimate of Downside Risk with Fat-Tailed and
Skewed Models Moving Average Models for Volatility and Correlation, and
Covariance Matrices Software for Financial Modeling Introduction to MATLAB
Introduction to VBA Stochastic Processes and Tools Stochastic Integrals
Stochastic Differential Equations Stochastic Processes in Continuous Time
Conditional Expectation and Change of Measure Change of Time Methods Term
Structure Modeling The Concept and Measures of Interest Rate Volatility
Short-Rate Term Structure Models Static Term-Structure Modeling in Discrete
and Continuous Time The Dynamic Term-Structure Model Essential Classes of
Interest Rate Models and Their Use A Review of No Arbitrage Interest Rate
Models and Their Use Trading Cost Models Modeling Market Impact Costs
Volatility Monte Carlo Simulation Stochastic Volatility