Book 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.
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.
Table of contents
- Cover
- Title Page
- Copyright
- About the Editor
- Contributors
- Preface
- Guide to the Encyclopedia of Financial Models
-
Asset Allocation
- Mean-Variance Model for Portfolio Selection
- Principles of Optimization for Portfolio Selection
-
Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio
- THE TANGENCY PORTFOLIO AS THE RATIONALE BEHIND SHARPE RATIO MAXIMIZATION
- ROBUST ESTIMATORS FOR COVARIANCE PARAMETERS
- ROBUST ESTIMATORS FOR EXPECTED RETURNS
- IMPLICATIONS FOR BENCHMARK PORTFOLIO CONSTRUCTION
- ASSET ALLOCATION MODELING: PUTTING THE EFFICIENT BUILDING BLOCKS TOGETHER
- KEY POINTS
- NOTES
- REFERENCES
-
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
- THE ARBITRAGE PRINCIPLE IN CONTINUOUS TIME
- ARBITRAGE PRICING IN CONTINUOUS-STATE, CONTINUOUS-TIME
- OPTION PRICING
- STATE-PRICE DEFLATORS
- EQUIVALENT MARTINGALE MEASURES
- EQUIVALENT MARTINGALE MEASURES AND GIRSANOV'S THEOREM
- EQUIVALENT MARTINGALE MEASURES AND COMPLETE MARKETS
- EQUIVALENT MARTINGALE MEASURES AND STATE PRICES
- ARBITRAGE PRICING WITH A PAYOFF RATE
- IMPLICATIONS OF THE ABSENCE OF ARBITRAGE
- WORKING WITH EQUIVALENT MARTINGALE MEASURES
- KEY POINTS
- NOTES
- REFERENCES
- Bayesian Analysis and Financial Modeling Applications
-
Bond Valuation
- Basics of Bond Valuation
- Relative Value Analysis of Fixed-Income Products
- Yield Curves and Valuation Lattices
- Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors
- Understanding the Building Blocks for OAS Models
- Quantitative Models to Value Convertible Bonds
- Quantitative Approaches to Inflation-Indexed Bonds
-
Credit Risk Modeling
-
An Introduction to Credit Risk Models
- KEY OBJECTIVES IN CREDIT RISK MODELING
- RATINGS AND “CREDIT SCORES” VERSUS DEFAULT PROBABILITIES
- WHAT “THROUGH THE CYCLE” REALLY MEANS
- VALUATION, PRICING, AND HEDGING
- EMPIRICAL DATA ON CREDIT SPREADS AND COMMON STOCK PRICES
- STRUCTURAL MODELS OF RISKY DEBT
- REDUCED-FORM MODELS OF RISKY DEBT
- EMPIRICAL EVIDENCE ON MODEL PERFORMANCE
- KEY POINTS
- NOTES
- REFERENCES
- Default Correlation in Intensity Models for Credit Risk Modeling
- Structural Models in Credit Risk Modeling
- Modeling Portfolio Credit Risk
- Simulating the Credit Loss Distribution
- Managing Credit Spread Risk Using Duration Times Spread (DTS)
- Credit Spread Decomposition
-
Credit Derivatives and Hedging Credit Risk
- CREDIT PORTFOLIO MODELING: WHAT’S THE HEDGE?
- THE MERTON MODEL AND ITS VARIANTS: TRANSACTION-LEVEL HEDGING
- THE MERTON MODEL AND ITS VARIANTS: PORTFOLIO- LEVEL HEDGING
- CREDIT DEFAULT SWAPS AND HEDGING
- PORTFOLIO- AND TRANSACTION-LEVEL HEDGING USING TRADED MACROECONOMIC INDICES
- KEY POINTS
- NOTES
- REFERENCES
-
An Introduction to Credit Risk Models
-
Derivatives Valuation
- No-Arbitrage Price Relations for Forwards, Futures, and Swaps
- No-Arbitrage Price Relations for Options
- Introduction to Contingent Claims Analysis
-
Black-Scholes Option Pricing Model
- MOTIVATION
- BLACK-SCHOLES FORMULA
- COMPUTING A CALL OPTION PRICE
- SENSITIVITY OF OPTION PRICE TO A CHANGE IN FACTORS: THE GREEKS
- COMPUTING A PUT OPTION PRICE
- ASSUMPTIONS UNDERLYING THE BLACK-SCHOLES MODEL AND BASIC EXTENSIONS
- BLACK-SCHOLES MODEL APPLIED TO THE PRICING OF OPTIONS ON BONDS: IMPORTANCE OF ASSUMPTIONS
- KEY POINTS
- References
- Pricing of Futures/Forwards and Options
- Pricing Options on Interest Rate Instruments
- Basics of Currency Option Pricing Models
- Credit Default Swap Valuation
- Valuation of Fixed Income Total Return Swaps
- Pricing of Variance, Volatility, Covariance, and Correlation Swaps
- Modeling, Pricing, and Risk Management of Assets and Derivatives in Energy and Shipping
- Index
Product information
- Title: Encyclopedia of Financial Models I
- Author(s):
- Release date: December 2012
- Publisher(s): Wiley
- ISBN: 9781118010327
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