Encyclopedia of financial models

Author(s)

• Fabozzi, Frank J.

Bibliographic Information

Encyclopedia of financial models

Frank J. Fabozzi, editor

Wiley, c2013

• : set
• v. 1
• v. 2
• v. 3

Note

Includes bibliographical references and index

Description and Table of Contents

Volume

: set ISBN 9781118006733

Description

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. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com 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.

Table of Contents

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

Volume

v. 1 ISBN 9781118010327

Description

Volume 1 of the Encyclopedia of Financial Models 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 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, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume 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 thirty-nine informative entries and provides readers with a balanced understanding of today?s dynamic world of financial modeling. ? Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation ? Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling ? The 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 Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Table of Contents

Contributors xi Preface xvii Guide to the Encyclopedia of Financial Models xxxiii Index 569 Volume I Asset Allocation 1 Mean-Variance Model for Portfolio Selection 3 Principles of Optimization for Portfolio Selection 21 Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio 35 Asset Pricing Models 47 General Principles of Asset Pricing 49 Capital Asset Pricing Models 65 Modeling Asset Price Dynamics 79 Arbitrage Pricing: Finite-State Models 99 Arbitrage Pricing: Continuous-State, Continuous-Time Models 121 Bayesian Analysis and Financial Modeling Applications 137 Basic Principles of Bayesian Analysis 139 Introduction to Bayesian Inference 151 Bayesian Linear Regression Model 163 Bayesian Estimation of ARCH-Type Volatility Models 175 Bayesian Techniques and the Black-Litterman Model 189 Bond Valuation 207 Basics of Bond Valuation 209 Relative Value Analysis of Fixed-Income Products 225 Yield Curves and Valuation Lattices 235 Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors 243 Understanding the Building Blocks for OAS Models 257 Quantitative Models to Value Convertible Bonds 271 Quantitative Approaches to Inflation-Indexed Bonds 277 Credit Risk Modeling 297 An Introduction to Credit Risk Models 299 Default Correlation in Intensity Models for Credit Risk Modeling 313 Structural Models in Credit Risk Modeling 341 Modeling Portfolio Credit Risk 361 Simulating the Credit Loss Distribution 377 Managing Credit Spread Risk Using Duration Times Spread (DTS) 391 Credit Spread Decomposition 401 Credit Derivatives and Hedging Credit Risk 407 Derivatives Valuation 421 No-Arbitrage Price Relations for Forwards, Futures, and Swaps 423 No-Arbitrage Price Relations for Options 437 Introduction to Contingent Claims Analysis 457 Black-Scholes Option Pricing Model 465 Pricing of Futures/Forwards and Options 477 Pricing Options on Interest Rate Instruments 489 Basics of Currency Option Pricing Models 507 Credit Default Swap Valuation 525 Valuation of Fixed Income Total Return Swaps 541 Pricing of Variance, Volatility, Covariance, and Correlation Swaps 545 Modeling, Pricing, and Risk Management of Assets and Derivatives in Energy and Shipping 555

Volume

v. 2 ISBN 9781118010334

Description

Volume 2 of the Encyclopedia of Financial Models 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 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, Volume 2 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume 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 forty-four informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. *Volume 2 explores Equity Models and Valuation, Factor Models for Portfolio Construction, Financial Econometrics, Financial Modeling Principles, Financial Statements Analysis, Finite Mathematics for Financial Modeling, and Model Risk and Selection * Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling * The 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 Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Table of Contents

Volume II Equity Models and Valuation 1 Dividend Discount Models 3 Discounted Cash Flow Methods for Equity Valuation 15 Relative Valuation Methods for Equity Analysis 33 Equity Analysis in a Complex Market 47 Equity Portfolio Selection Models in Practice 61 Basics of Quantitative Equity Investing 89 Quantitative Equity Portfolio Management 107 Forecasting Stock Returns 121 Factor Models for Portfolio Construction 135 Factor Models 137 Principal Components Analysis and Factor Analysis 153 Multifactor Equity Risk Models and Their Applications 171 Factor-Based Equity Portfolio Construction and Analysis 195 Cross-Sectional Factor-Based Models and Trading Strategies 213 The Fundamentals of Fundamental Factor Models 243 Multifactor Equity Risk Models and Their Applications 255 Multifactor Fixed Income Risk Models and Their Applications 267 Financial Econometrics 293 Scope and Methods of Financial Econometrics 295 Regression Analysis: Theory and Estimation 305 Categorical and Dummy Variables in Regression Models 333 Quantile Regression 353 ARCH/GARCH Models in Applied Financial Econometrics 359 Classification and Regression Trees and Their Use in Financial Modeling 375 Applying Cointegration to Problems in Finance 383 Nonlinearity and Nonlinear Econometric Models in Finance 401 Robust Estimates of Betas and Correlations 437 Working with High-Frequency Data 449 FinancialModeling Principles 465 Milestones in Financial Modeling 467 From Art to Financial Modeling 479 Basic Data Description for Financial Modeling and Analysis 485 Time Series Concepts, Representations, and Models 501 Extracting Risk-Neutral Density Information from Options Market Prices 521 Financial Statement Analysis 529 Financial Statements 531 Financial Ratio Analysis 545 Cash-Flow Analysis 565 Finite Mathematics for Financial Modeling 579 Important Functions and Their Features 581 Time Value of Money 595 Fundamentals of Matrix Algebra 621 Difference Equations 629 Differential Equations 643 Partial Differential Equations in Finance 659 Model Risk and Selection 689 Model Risk 691 Model Selection and Its Pitfalls 699 Managing the Model Risk with the Methods of the Probabilistic Decision Theory 719 Fat-Tailed Models for Risk Estimation 731

Volume

v. 3 ISBN 9781118010341

Description

Volume 3 of the Encyclopedia of Financial Models 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 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, Volume 3 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume 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 forty-four informative entries and provides readers with a balanced understanding of today s dynamic world of financial modeling. *Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility * Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling * The 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 Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Table of Contents

Volume III Mortgage-Backed Securities Analysis and Valuation 1 Valuing Mortgage-Backed and Asset-Backed Securities 3 The Active-Passive Decomposition Model for MBS 17 Analysis of Nonagency Mortgage-Backed Securities 29 Measurements of Prepayments for Residential Mortgage-Backed Securities 47 Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities 65 Operational Risk 79 Operational Risk 81 Operational Risk Models 91 Modeling Operational Loss Distributions 103 Optimization Tools 121 Introduction to Stochastic Programming and Its Applications to Finance 123 Robust Portfolio Optimization 137 Probability Theory 149 Concepts of Probability Theory 151 Discrete Probability Distributions 165 Continuous Probability Distributions 195 Continuous Probability Distributions with Appealing Statistical Properties 207 Continuous Probability Distributions Dealing with Extreme Events 227 Stable and Tempered Stable Distributions 241 Fat Tails, Scaling, and Stable Laws 259 Copulas 283 Applications of Order Statistics to Risk Management Problems 289 Risk Measures 297 Measuring Interest Rate Risk: Effective Duration and Convexity 299 Yield Curve Risk Measures 307 Value-at-Risk 319 Average Value-at-Risk 331 Risk Measures and Portfolio Selection 349 Back-Testing Market Risk Models 361 Estimating Liquidity Risks 371 Estimate of Downside Risk with Fat-Tailed and Skewed Models 381 Moving Average Models for Volatility and Correlation, and Covariance Matrices 395 Software for FinancialModeling 415 Introduction to Financial Model Building with MATLAB 417 Introduction to Visual Basic for Applications 449 Stochastic Processes and Tools 469 Stochastic Integrals 471 Stochastic Differential Equations 485 Stochastic Processes in Continuous Time 495 Conditional Expectation and Change of Measure 507 Change of Time Methods 519 Term StructureModeling 531 The Concept and Measures of Interest Rate Volatility 533 Short-Rate Term Structure Models 543 Static Term Structure Modeling in Discrete and Continuous Time 559 The Dynamic Term Structure Model 575 Essential Classes of Interest Rate Models and Their Use 593 A Review of No Arbitrage Interest Rate Models 603 Trading CostModels 621 Modeling Market Impact Costs 623 Volatility 635 Monte Carlo Simulation in Finance 637 Stochastic Volatility 653

by "Nielsen BookData"

• NCID: BB11033192
• ISBN:
  • 9781118006733
  • 9781118010327
  • 9781118010334
  • 9781118010341
• LCCN: 2012032768
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Hoboken, N.J.
• Pages/Volumes: 3 v.
• Size: 27 cm
• Classification:
  • LCC : HG4521
  • DC23 : 332.603
• Subject Headings:
  • LCSH : Investments -- Management -- Encyclopedias
  • LCSH : Portfolio management -- Encyclopedias
  • LCSH : Finance -- Mathematical models -- Encyclopedias