The mathematics of financial modeling and investment management /

• Main Author: Focardi, Sergio M.
• Other Authors: Fabozzi, Frank J.
• Format: eBook
• Language: English
• Published: New York ; Chichester [England] : Wiley, 2004.
• Series: Frank J. Fabozzi series.
• Subjects: Finance > Mathematical models.; Business mathematics.; Portfolio management > Mathematical models.; Investment analysis > Mathematical models.; Finances > Mod�eles math�ematiques.; Math�ematiques financi�eres.; Gestion de portefeuille > Mod�eles math�ematiques.; Analyse financi�ere > Mod�eles math�ematiques.; BUSINESS & ECONOMICS > Finance.; Investeringen.; Financieel management.; Wiskundige modellen.; Electronic books.

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 (Ce...

Table of Contents:

• 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.