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The mathematics of financial modeling and investment management

Author: Sergio M Focardi; Frank J Fabozzi
Publisher: New Jersey : Wiley, 2004.
Series: Frank J. Fabozzi series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
Using real-world examples, this text introduces the reader to the key mathematical techniques used in the financial world, namely matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis and optimization.
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Sergio M Focardi; Frank J Fabozzi
ISBN: 0471465992 9780471465997
OCLC Number: 55495245
Description: xxii, 778 pages : illustrations ; 24 cm.
Contents: 1. From art to engineering in finance --
2. Overview of financial markets, financial assets, and market participants --
3. Milestones in financial modeling and investment management --
4. Principles of calculus --
5. Matrix algebra --
6. Concepts of probability --
7. Optimization --
8. Stochastic integrals --
9. Differential equations and difference equations --
10. Stochastic differential equations --
11. Financial econometrics: time series concepts, representations and models --
12. Financial econometrics: model selection, estimation, and testing --
13. Fat tails, scaling, and stable laws --
14. Arbitrage pricing: finite-state models --
15. Arbitrage pricing: continuous-state, continuous-time models --
16. Portfolio selection using mean-variance analysis --
17. Capital asset pricing model --
18. Multifactor models and common trends for common stocks --
19. Equity portfolio management --
20. Term structure modeling and valuation of bonds and bond options --
21. Bond portfolio management --
22. Credit risk modeling and credit default swaps --
23. Risk management.
Series Title: Frank J. Fabozzi series.
Other Titles: Mathematics of financial modeling & investment management
Responsibility: Sergio Focardi, Frank J. Fabozzi.
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Abstract:

Covers a wide range of technical topics in mathematics and finance. This book describes various financial applications such as Arbitrage pricing, Interest rate modeling, Derivative pricing, and  Read more...

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"This outstanding reference surveys it all...if you are a quantitative professional, you want this book on your shelf." -- Riskbook.com "I strongly recommend this [book]...If I'd had this book Read more...

 
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