http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
mathematics of financial modeling and investment management
Mathematics of financial modeling & investment management
1 online resource (xxii, 778 pages) : illustrations.
The principles and practices of financial markets. Using many real-world examples, this book explains the key mathematical techniques used in today's financial world. Sergio M. Focardi (Paris, France) is a founding partner of The Intertek Group financial consultancy and a cofounder of CINEF (Center for Interdisciplinary Research in Economics and Finance) at the University of Genoa, Italy.
From Art to Engineering in Finance -- Overview of Financial Markets, Financial Assets, and Market Participants -- Milestones in Financial Modeling and Investment Management -- Principles of Calculus -- Matrix Algebra -- Concepts of Probability -- Optimization -- Stochastic Integrals -- Differential Equations and Difference Equations -- Stochastic Differential Equations -- Financial Econometrics: Time Series Concepts, Representations, and Models -- Financial Econometrics: Model Selection, Estimation, and Testing -- Fat Tails, Scaling, and Stable Laws -- Arbitrage Pricing: Finite-State Models -- Arbitrage Pricing: Continuous-State, Continuous-Time Models -- Portfolio Selection Using Mean-Variance Analysis -- Capital Asset Pricing Model -- Multifactor Models and Common Trends for Common Stocks -- Equity Portfolio Management -- Term Structure Modeling and Valuation of Bonds and Bond Options -- Bond Portfolio Management -- Credit Risk Modeling and Credit Default Swaps -- Risk Management.
Includes bibliographical references and index.
New York ; Chichester [England] : Wiley, 2004