Details

Encyclopedia of Financial Models, Volume I


Encyclopedia of Financial Models, Volume I


1. Aufl.

von: Frank J. Fabozzi

311,99 €

Verlag: Wiley
Format: EPUB
Veröffentl.: 26.09.2012
ISBN/EAN: 9781118539859
Sprache: englisch
Anzahl Seiten: 640

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Beschreibungen

<p><i><b>Volume 1 of the Encyclopedia of Financial Models</b></i></p> <p>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.</p> <p>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.</p> <ul> <li>Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation</li> <li>Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling</li> <li>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</li> </ul> <p>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.</p>
Contributors xi <p>Preface xvii</p> <p>Guide to the Encyclopedia of Financial Models xxxiii</p> <p>Index 569</p> <p><b>Volume I</b></p> <p>Asset Allocation 1</p> <p>Mean-Variance Model for Portfolio Selection 3</p> <p>Principles of Optimization for Portfolio Selection 21</p> <p>Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio 35</p> <p>Asset Pricing Models 47</p> <p>General Principles of Asset Pricing 49</p> <p>Capital Asset Pricing Models 65</p> <p>Modeling Asset Price Dynamics 79</p> <p>Arbitrage Pricing: Finite-State Models 99</p> <p>Arbitrage Pricing: Continuous-State, Continuous-Time Models 121</p> <p>Bayesian Analysis and Financial Modeling Applications 137</p> <p>Basic Principles of Bayesian Analysis 139</p> <p>Introduction to Bayesian Inference 151</p> <p>Bayesian Linear Regression Model 163</p> <p>Bayesian Estimation of ARCH-Type Volatility Models 175</p> <p>Bayesian Techniques and the Black-Litterman Model 189</p> <p>Bond Valuation 207</p> <p>Basics of Bond Valuation 209</p> <p>Relative Value Analysis of Fixed-Income Products 225</p> <p>Yield Curves and Valuation Lattices 235</p> <p>Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors 243</p> <p>Understanding the Building Blocks for OAS Models 257</p> <p>Quantitative Models to Value Convertible Bonds 271</p> <p>Quantitative Approaches to Inflation-Indexed Bonds 277</p> <p>Credit Risk Modeling 297</p> <p>An Introduction to Credit Risk Models 299</p> <p>Default Correlation in Intensity Models for Credit Risk Modeling 313</p> <p>Structural Models in Credit Risk Modeling 341</p> <p>Modeling Portfolio Credit Risk 361</p> <p>Simulating the Credit Loss Distribution 377</p> <p>Managing Credit Spread Risk Using Duration Times Spread (DTS) 391</p> <p>Credit Spread Decomposition 401</p> <p>Credit Derivatives and Hedging Credit Risk 407</p> <p>Derivatives Valuation 421</p> <p>No-Arbitrage Price Relations for Forwards, Futures, and Swaps 423</p> <p>No-Arbitrage Price Relations for Options 437</p> <p>Introduction to Contingent Claims Analysis 457</p> <p>Black-Scholes Option Pricing Model 465</p> <p>Pricing of Futures/Forwards and Options 477</p> <p>Pricing Options on Interest Rate Instruments 489</p> <p>Basics of Currency Option Pricing Models 507</p> <p>Credit Default Swap Valuation 525</p> <p>Valuation of Fixed Income Total Return Swaps 541</p> <p>Pricing of Variance, Volatility, Covariance, and Correlation Swaps 545</p> <p>Modeling, Pricing, and Risk Management of Assets and Derivatives in Energy and Shipping 555</p>
<p><b>Frank J. Fabozzi</b> is editor of the <i>Journal of Portfolio Management</i> and an Adjunct Professor of Finance at Yale University's School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.</p>
<p><b>VOLUME I</b></p> <p>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 <i>Encyclopedia of Financial Models, 3 Volume Set</i> has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand the various models currently available and apply them in real-world situations.</p> <p>Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Incorporating timely research and in-depth analysis, <i>Volume I</i> of the <i>Encyclopedia of Financial Models</i> covers:</p> <ul> <li>Asset Allocation</li> <li>Asset Pricing Models</li> <li>Bayesian Analysis and Financial Modeling Applications</li> <li>Bond Valuation</li> <li>Credit Risk Modeling</li> <li>Derivatives Valuation</li> </ul>

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