The Mathematics of Financial Modeling and Investment Management
SERGIO M. FOCARDI
FRANK J. FABOZZI

John Wiley & Sons, Inc.
Copyright © 2004 by John Wiley & Sons, Inc. All rights reserved.

Contents
Preface xiv
CHAPTER 1
From Art to Engineering in Finance 1
CHAPTER 2
Overview of Financial Markets, Financial Assets, and Market Participants 21
CHAPTER 3
Milestones in Financial Modeling and Investment Management 75
CHAPTER 4
Principles of Calculus 91
CHAPTER 5
Matrix Algebra 141
CHAPTER 6
Concepts of Probability 165
CHAPTER 7
Optimization 201
CHAPTER 8
Stochastic Integrals 217
CHAPTER 9
Differential Equations and Difference Equations 239
CHAPTER 10
Stochastic Differential Equations 267
CHAPTER 11
Financial Econometrics: Time Series Concepts, Representations, and Models 283
CHAPTER 12
Financial Econometrics: Model Selection, Estimation, and Testing 315
CHAPTER 13
Fat Tails, Scaling, and Stable Laws 351
CHAPTER 14
Arbitrage Pricing: Finite-State Models 393
CHAPTER 15
Arbitrage Pricing: Continuous-State, Continuous-Time Models 441
CHAPTER 16
Portfolio Selection Using Mean-Variance Analysis 471
CHAPTER 17
Capital Asset Pricing Model 511
CHAPTER 18
Multifactor Models and Common Trends for Common Stocks 529
CHAPTER 19
Equity Portfolio Management 551
CHAPTER 20
Term Structure Modeling and Valuation of Bonds and Bond Options 593
CHAPTER 21
Bond Portfolio Management 649
CHAPTER 22
Credit Risk Modeling and Credit Default Swaps 679
CHAPTER 23
Risk Management 737

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