The Mathematics of Financial Modeling and Investment Management
Sergio M. Focardi, Frank J. Fabozzi
ISBN: 978-0-471-46599-7
Hardcover
800 pages
March 2004

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US $108.50

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Preface. Acknowledgments. About the Authors. Commonly Used Symbols. Abbreviations and Acronyms. Chapter 1. From Art to Engineering in Finance. Chapter 2. Overview of Financial Markets, Financial Assets, and Market Participants. Chapter 3. Milestones in Financial Modeling and Investment Management. Chapter 4. Principles of Calculus. Chapter 5. Matrix Algebra. Chapter 6. Concepts of Probability. Chapter 7. Optimization. Chapter 8. Stochastic Integrals. Chapter 9. Differential Equations and Difference Equations. Chapter 10. Stochastic Differential Equations. Chapter 11. Financial Econometrics: Time Series. Chapter 12. Financial Econometrics: Model Selection, Estimation, and Testing. Chapter 13. Fat Trails, Scaling, and Stable Laws. Chapter 14. Arbitrage Pricing: Finite-State Models. Chapter 15. Arbitrage Pricing: Continuous-State, Continuous-Time Models. Chapter 16. Portfolio Selection using Mean-Variance Analysis. Chapter 17. Capital Asset pricing Model. Chapter 18. Multifactor Models and Common Trends for Common Stocks. Chapter 19. Equity Portfolio Management. Chapter 20. Term Structure Modeling and Valuation of Bonds and Bond Optics. Chapter 21. Bond Portfolio Management. Chapter 22. Credit Risk Modeling and Credit Default Swaps. Chapter 23. Risk Management. Index.