Sergio M. Focardi & Frank J. Fabozzi 
The Mathematics of Financial Modeling and Investment Management 

the mathematics of financial modeling & investmentmanagement

The Mathematics of Financial Modeling & Investment Managementcovers a wide range of technical topics in mathematics andfinance-enabling the investment management practitioner, researcher, or student to fully understand the process of financialdecision-making and its economic foundations.

This comprehensive resource will introduce you to key mathematicaltechniques-matrix algebra, calculus, ordinary differentialequations, probability theory, stochastic calculus, time seriesanalysis, optimization-as well as show you how these techniques aresuccessfully implemented in the world of modern finance. Specialemphasis is placed on the new mathematical tools that allow adeeper understanding of financial econometrics and financialeconomics. Recent advances in financial econometrics, such as toolsfor estimating and representing the tails of the distributions, theanalysis of correlation phenomena, and dimensionality reductionthrough factor analysis and cointegration are discussed indepth.

Using a wealth of real-world examples, Focardi and Fabozzisimultaneously show both the mathematical techniques and the areasin finance where these techniques are applied. They also cover avariety of useful financial applications, such as:
* Arbitrage pricing
* Interest rate modeling
* Derivative pricing
* Credit risk modeling
* Equity and bond portfolio management
* Risk management
* And much more

Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly tiestogether financial theory and mathematical techniques.

Tabela de Conteúdo

Preface.

Acknowledgments.

About the Authors.

Commonly Used Symbols.

Abbreviations and Acronyms.

Chapter 1. From Art to Engineering in Finance.

Chapter 2. Overview of Financial Markets, Financial Assets, and Market Participants.

Chapter 3. Milestones in Financial Modeling and Investment Management.

Chapter 4. Principles of Calculus.

Chapter 5. Matrix Algebra.

Chapter 6. Concepts of Probability.

Chapter 7. Optimization.

Chapter 8. Stochastic Integrals.

Chapter 9. Differential Equations and Difference Equations.

Chapter 10. Stochastic Differential Equations.

Chapter 11. Financial Econometrics: Time Series.

Chapter 12. Financial Econometrics: Model Selection, Estimation, and Testing.

Chapter 13. Fat Trails, Scaling, and Stable Laws.

Chapter 14. Arbitrage Pricing: Finite-State Models.

Chapter 15. Arbitrage Pricing: Continuous-State, Continuous-Time Models.

Chapter 16. Portfolio Selection using Mean-Variance Analysis.

Chapter 17. Capital Asset pricing Model.

Chapter 18. Multifactor Models and Common Trends for Common Stocks.

Chapter 19. Equity Portfolio Management.

Chapter 20. Term Structure Modeling and Valuation of Bonds and Bond Optics.

Chapter 21. Bond Portfolio Management.

Chapter 22. Credit Risk Modeling and Credit Default Swaps.

Chapter 23. Risk Management.

Index.

Sobre o autor

SERGIO FOCARDI is a founding partner of The Intertek Group, a Paris-based firm providing consulting on advanced mathematicalmethods in banking and finance, and a cofounder of CINEF (Centerfor Interdisciplinary Research in Economics and Finance) at the University of Genoa, Italy. Focardi’s research interestsfocus on statistical arbitrage, dynamic factor analysis, andfinancial modeling in a multiple heterogeneous interacting agentsframework. He has published numerous articles and coauthored thebooks Modeling the Market: New Theories and Techniques and Risk Management: Framework, Methods, and Practice (both published by Wiley). Focardi holds a degree in electronic engineering from the University of Genoa.
FRANK J. FABOZZI, Ph D, CFA, is the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management and Editor of the Journal of Portfolio Management.Fabozzi is a Chartered Financial Analyst and Certified Public Accountant who has authored and edited many acclaimed books infinance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.