Financial Econometrics: From Basics to Advanced Modeling Techniques

FraNK j. fABOZZI

Svetlozar T. Rachev

Sergio M. Focardi

Stefan Mittnik

Teo Jašić

wiley

the mathematics of financial modeling & investment management  The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations.  This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth.  Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more    Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.

The Mathematics of Financial Modeling and Investment Management

Business & Money

Investing

John Wiley and Sons Ltd.

Mathematical Methods for Finance: Tools for Asset and Risk Management

This introduction to recent developments in modeling equity returns provides a plain-English, formula-free review of quantitative methods—in particular, the trade-offs that must be made among model complexity, risk, and performance. The monograph also includes the results of a 2005 survey of the modeling practiced at 21 large asset management firms.

Trends in Quantitative Finance

Petter N. Kolm

CFA Institute

The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process. 
 Readership: For those who want to understand the main concepts regarding heavy-tailed distributions and Lévy processes using probability or statistics.

HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT (World Scientific Handbook in Financial Economics)

Michele Leonardo Bianchi

Stoyan V Stoyanov

Gian Luca Tassinari

Finance

World Scientific Publishing Co.

See the best price to sell, buy, or rent books by Sergio M. Focardi. BookScouter helps to compare book prices from 25+ online bookstores and 30+ buyback vendors with a single search.

Books by Sergio M. Focardi