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
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 an
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