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Encyclopedia of Financial Models, 3 Volume Set

Encyclopedia of Financial Models, 3 Volume Set

  • Author:
  • Publisher: John Wiley & Sons
  • ISBN: 9781118006733
  • Published In: October 2012
  • Format: Hardback (3 volumes) , 2100 pages
  • Jurisdiction: International ? Disclaimer:
    Countri(es) stated herein are used as reference only

List Price: HKD 11,250.00

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  • Description 
  • Contents 
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    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.

  • 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

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