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Encyclopedia of Financial Models II by Frank J. Fabozzi

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About the Editor

Frank J. Fabozzi is Professor of Finance at EDHEC Business School and a member of the EDHEC Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at Yale University’s School of Management from 1994 to 2011 and from 1986 to 1992 was a visiting professor of finance and accounting at MIT’s Sloan School of Management. From 2008 to 2011, he was an affiliated professor in the Institute of Statistics, Econometrics, and Mathematical Finance at the University of Karlsruhe in Germany. Prior to 1986 he held professorial positions at Lafayette College, Fordham University, Queens College (CUNY), and Hofstra University. From 2003 to 2011, he served on Princeton University’s Advisory Council for the Department of Operations Research and Financial Engineering and since then has been a visiting fellow in that department.

Professor Fabozzi is the editor of the Journal of Portfolio Management, as well as on the editorial board of the Journal of Fixed Income, Journal of Asset Management, Quantitative Finance, Review of Futures Markets, Journal of Mathematical Finance, Journal of Structured Finance, Annals of Financial Economics, and Theoretical Economic Letters.

He has authored and edited a number of books in asset management and quantitative finance. His coauthored books in quantitative finance include A Probability Metrics Approach to Financial Risk Measures (2011), Financial Modeling with Lévy Processes and Volatility Clustering ...

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