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<b>Volume III</b> <p>Mortgage-Backed Securities Analysis and Valuation 1</p> <p>Valuing Mortgage-Backed and Asset-Backed Securities 3</p> <p>The Active-Passive Decomposition Model for MBS 17</p> <p>Analysis of Nonagency Mortgage-Backed Securities 29</p> <p>Measurements of Prepayments for Residential Mortgage-Backed Securities 47</p> <p>Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities 65</p> <p>Operational Risk 79</p> <p>Operational Risk 81</p> <p>Operational Risk Models 91</p> <p>Modeling Operational Loss Distributions 103</p> <p>Optimization Tools 121</p> <p>Introduction to Stochastic Programming and Its Applications to Finance 123</p> <p>Robust Portfolio Optimization 137</p> <p>Probability Theory 149</p> <p>Concepts of Probability Theory 151</p> <p>Discrete Probability Distributions 165</p> <p>Continuous Probability Distributions 195</p> <p>Continuous Probability Distributions with Appealing Statistical Properties 207</p> <p>Continuous Probability Distributions Dealing with Extreme Events 227</p> <p>Stable and Tempered Stable Distributions 241</p> <p>Fat Tails, Scaling, and Stable Laws 259</p> <p>Copulas 283</p> <p>Applications of Order Statistics to Risk Management Problems 289</p> <p>Risk Measures 297</p> <p>Measuring Interest Rate Risk: Effective Duration and Convexity 299</p> <p>Yield Curve Risk Measures 307</p> <p>Value-at-Risk 319</p> <p>Average Value-at-Risk 331</p> <p>Risk Measures and Portfolio Selection 349</p> <p>Back-Testing Market Risk Models 361</p> <p>Estimating Liquidity Risks 371</p> <p>Estimate of Downside Risk with Fat-Tailed and Skewed Models 381</p> <p>Moving Average Models for Volatility and Correlation, and Covariance Matrices 395</p> <p>Software for FinancialModeling 415</p> <p>Introduction to Financial Model Building with MATLAB 417</p> <p>Introduction to Visual Basic for Applications 449</p> <p>Stochastic Processes and Tools 469</p> <p>Stochastic Integrals 471</p> <p>Stochastic Differential Equations 485</p> <p>Stochastic Processes in Continuous Time 495</p> <p>Conditional Expectation and Change of Measure 507</p> <p>Change of Time Methods 519</p> <p>Term StructureModeling 531</p> <p>The Concept and Measures of Interest Rate Volatility 533</p> <p>Short-Rate Term Structure Models 543</p> <p>Static Term Structure Modeling in Discrete and Continuous Time 559</p> <p>The Dynamic Term Structure Model 575</p> <p>Essential Classes of Interest Rate Models and Their Use 593</p> <p>A Review of No Arbitrage Interest Rate Models 603</p> <p>Trading CostModels 621</p> <p>Modeling Market Impact Costs 623</p> <p>Volatility 635</p> <p>Monte Carlo Simulation in Finance 637</p> <p>Stochastic Volatility 653</p>

<p><b>Frank J. Fabozzi</b> is editor of the Journal of Portfolio Management 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 III</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 III</i> of the <i>Encyclopedia of Financial Models</i> covers:</p> <ul> <li>Mortgage-Backed Securities Analysis and Valuation</li> <li>Operational Risk</li> <li>Optimization Tools</li> <li>Probability Theory</li> <li>Risk Measures</li> <li>Software for Financial Modeling</li> <li>Stochastic Processes and Tools</li> <li>Term Structure Modeling</li> <li>Trading Cost Models</li> <li>Volatility</li> </ul>

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