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
