Book description
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.
Table of contents
-
Volume 1
- Title Page
- Copyright
- About the Editor
- Contributors
- Preface
- Guide to the Encyclopedia of Financial Models
-
Asset Allocation
- Mean-Variance Model for Portfolio Selection
- Principles of Optimization for Portfolio Selection
-
Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio
- THE TANGENCY PORTFOLIO AS THE RATIONALE BEHIND SHARPE RATIO MAXIMIZATION
- ROBUST ESTIMATORS FOR COVARIANCE PARAMETERS
- ROBUST ESTIMATORS FOR EXPECTED RETURNS
- IMPLICATIONS FOR BENCHMARK PORTFOLIO CONSTRUCTION
- ASSET ALLOCATION MODELING: PUTTING THE EFFICIENT BUILDING BLOCKS TOGETHER
- KEY POINTS
- NOTES
- REFERENCES
-
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
- THE ARBITRAGE PRINCIPLE IN CONTINUOUS TIME
- ARBITRAGE PRICING IN CONTINUOUS-STATE, CONTINUOUS-TIME
- OPTION PRICING
- STATE-PRICE DEFLATORS
- EQUIVALENT MARTINGALE MEASURES
- EQUIVALENT MARTINGALE MEASURES AND GIRSANOV'S THEOREM
- EQUIVALENT MARTINGALE MEASURES AND COMPLETE MARKETS
- EQUIVALENT MARTINGALE MEASURES AND STATE PRICES
- ARBITRAGE PRICING WITH A PAYOFF RATE
- IMPLICATIONS OF THE ABSENCE OF ARBITRAGE
- WORKING WITH EQUIVALENT MARTINGALE MEASURES
- KEY POINTS
- NOTES
- REFERENCES
- Bayesian Analysis and Financial Modeling Applications
-
Bond Valuation
- Basics of Bond Valuation
- Relative Value Analysis of Fixed-Income Products
- Yield Curves and Valuation Lattices
- Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors
- Understanding the Building Blocks for OAS Models
- Quantitative Models to Value Convertible Bonds
- Quantitative Approaches to Inflation-Indexed Bonds
-
Credit Risk Modeling
-
An Introduction to Credit Risk Models
- KEY OBJECTIVES IN CREDIT RISK MODELING
- RATINGS AND “CREDIT SCORES” VERSUS DEFAULT PROBABILITIES
- WHAT “THROUGH THE CYCLE” REALLY MEANS
- VALUATION, PRICING, AND HEDGING
- EMPIRICAL DATA ON CREDIT SPREADS AND COMMON STOCK PRICES
- STRUCTURAL MODELS OF RISKY DEBT
- REDUCED-FORM MODELS OF RISKY DEBT
- EMPIRICAL EVIDENCE ON MODEL PERFORMANCE
- KEY POINTS
- NOTES
- REFERENCES
- Default Correlation in Intensity Models for Credit Risk Modeling
- Structural Models in Credit Risk Modeling
- Modeling Portfolio Credit Risk
- Simulating the Credit Loss Distribution
- Managing Credit Spread Risk Using Duration Times Spread (DTS)
- Credit Spread Decomposition
-
Credit Derivatives and Hedging Credit Risk
- CREDIT PORTFOLIO MODELING: WHAT’S THE HEDGE?
- THE MERTON MODEL AND ITS VARIANTS: TRANSACTION-LEVEL HEDGING
- THE MERTON MODEL AND ITS VARIANTS: PORTFOLIO- LEVEL HEDGING
- CREDIT DEFAULT SWAPS AND HEDGING
- PORTFOLIO- AND TRANSACTION-LEVEL HEDGING USING TRADED MACROECONOMIC INDICES
- KEY POINTS
- NOTES
- REFERENCES
-
An Introduction to Credit Risk Models
-
Derivatives Valuation
- No-Arbitrage Price Relations for Forwards, Futures, and Swaps
- No-Arbitrage Price Relations for Options
- Introduction to Contingent Claims Analysis
-
Black-Scholes Option Pricing Model
- MOTIVATION
- BLACK-SCHOLES FORMULA
- COMPUTING A CALL OPTION PRICE
- SENSITIVITY OF OPTION PRICE TO A CHANGE IN FACTORS: THE GREEKS
- COMPUTING A PUT OPTION PRICE
- ASSUMPTIONS UNDERLYING THE BLACK-SCHOLES MODEL AND BASIC EXTENSIONS
- BLACK-SCHOLES MODEL APPLIED TO THE PRICING OF OPTIONS ON BONDS: IMPORTANCE OF ASSUMPTIONS
- KEY POINTS
- References
- Pricing of Futures/Forwards and Options
- Pricing Options on Interest Rate Instruments
- Basics of Currency Option Pricing Models
- Credit Default Swap Valuation
- Valuation of Fixed Income Total Return Swaps
- Pricing of Variance, Volatility, Covariance, and Correlation Swaps
- Modeling, Pricing, and Risk Management of Assets and Derivatives in Energy and Shipping
- Index
-
Volume 2
- Title Page
- Copyright
- About the Editor
- Contributors
- Preface
- Guide to the Encyclopedia of Financial Models
-
Equity Models and Valuation
-
Dividend Discount Models
- DIVIDEND MEASURES
- DIVIDENDS AND STOCK PRICES
- BASIC DIVIDEND DISCOUNT MODELS
- THE FINITE LIFE GENERAL DIVIDEND DISCOUNT MODEL
- CONSTANT GROWTH DIVIDEND DISCOUNT MODEL
- MULTIPHASE DIVIDEND DISCOUNT MODELS
- STOCHASTIC DIVIDEND DISCOUNT MODELS
- EXPECTED RETURNS AND DIVIDEND DISCOUNT MODELS
- KEY POINTS
- REFERENCES
-
Discounted Cash Flow Methods for Equity Valuation
- DIVIDEND DISCOUNT MODEL
- CONSTANT-GROWTH DDM
- NONCONSTANT-GROWTH DDM
- INTUITION BEHIND THE DDM
- COMPLICATIONS IN IMPLEMENTING THE DDM IN THE REAL WORLD
- ADAPTING TO THE COMPLICATIONS: THE EARNINGS PER SHARE APPROACH
- FREE CASH FLOW DCF MODEL—TOTAL FIRM VALUATION
- CALCULATING FCF
- USING THE CASH-FLOW STATEMENT TO ARRIVE AT OCF AND FCF
- VALUING THE TOTAL FIRM
- ESTIMATING TOTAL FIRM VALUE USING THE FCF MODEL
- KEY POINTS
- REFERENCES
- Relative Valuation Methods for Equity Analysis
- Equity Analysis in a Complex Market
- Equity Portfolio Selection Models in Practice
- Basics of Quantitative Equity Investing
- Quantitative Equity Portfolio Management
- Forecasting Stock Returns
-
Dividend Discount Models
-
Factor Models for Portfolio Construction
- Factor Models
- Principal Components 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
- CROSS-SECTIONAL METHODS FOR EVALUATION OF FACTOR PREMIUMS
- FACTOR MODELS
- PERFORMANCE EVALUATION OF FACTORS
- MODEL CONSTRUCTION METHODOLOGIES FOR A FACTOR-BASED TRADING STRATEGY
- BACKTESTING
- BACKTESTING OUR FACTOR TRADING STRATEGY
- KEY POINTS
- APPENDIX: THE COMPUSTAT POINT-IN-TIME, IBES CONSENSUS DATABASES AND FACTOR DEFINITIONS
- NOTES
- REFERENCES
- The Fundamentals of Fundamental Factor Models
- Multifactor Equity Risk Models and Their Applications
- Multifactor Fixed Income Risk Models and Their Applications
-
Financial Econometrics
- Scope and Methods of Financial Econometrics
-
Regression Analysis: Theory and Estimation
- THE CONCEPT OF DEPENDENCE
- REGRESSIONS AND LINEAR MODELS
- ESTIMATION OF LINEAR REGRESSIONS
- SAMPLING DISTRIBUTIONS OF REGRESSIONS
- DETERMINING THE EXPLANATORY POWER OF A REGRESSION
- USING REGRESSION ANALYSIS IN FINANCE
- NONNORMALITY AND AUTOCORRELATION OF THE RESIDUALS
- PITFALLS OF REGRESSIONS
- KEY POINTS
- NOTES
- REFERENCES
- 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
- Applying Cointegration to Problems 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
- THE PRECURSORS: PARETO, WALRAS, AND THE LAUSANNE SCHOOL
- PRICE DIFFUSION: BACHELIER
- THE RUIN PROBLEM IN INSURANCE: LUNDBERG
- THE PRINCIPLES OF INVESTMENT: MARKOWITZ
- UNDERSTANDING VALUE: MODIGLIANI AND MILLER
- EFFICIENT MARKETS: FAMA AND SAMUELSON
- CAPITAL ASSET PRICING MODEL: SHARPE, LINTNER, AND MOSSIN
- THE MULTIFACTOR CAPM: MERTON
- ARBITRAGE PRICING THEORY: ROSS
- ARBITRAGE, HEDGING, AND OPTION THEORY: BLACK, SCHOLES, AND MERTON
- KEY POINTS
- REFERENCES
- 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
-
Milestones in Financial Modeling
- Financial Statement Analysis
-
Finite Mathematics for Financial Modeling
- Important Functions and Their Features
-
Time Value of Money
- IMPORTANCE OF THE TIME VALUE OF MONEY
- DETERMINING THE FUTURE VALUE
- DETERMINING THE PRESENT VALUE
- DETERMINING THE UNKNOWN INTEREST RATE
- DETERMINING THE NUMBER OF COMPOUNDING PERIODS
- THE TIME VALUE OF A SERIES OF CASH FLOWS
- VALUING CASH FLOWS WITH DIFFERENT TIME PATTERNS
- LOAN AMORTIZATION
- THE CALCULATION OF INTEREST RATES AND YIELDS
- KEY POINTS
- NOTE
- REFERENCES
- Fundamentals of Matrix Algebra
- Difference Equations
- Differential Equations
- Partial Differential Equations in Finance
- Model Risk and Selection
- Index
-
Volume 3
- Title Page
- Copyright
- About the Editor
- Contributors
- Preface
- Guide to the Encyclopedia of Financial Models
-
Mortgage-Backed Securities Analysis and Valuation
- Valuing Mortgage-Backed and Asset-Backed Securities
- The Active-Passive Decomposition Model for MBS
- Analysis of Nonagency Mortgage-Backed Securities
- Measurement of Prepayments for Residential Mortgage-Backed Securities
- Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities
- Operational Risk
- Optimization Tools
-
Probability Theory
- Concepts of Probability Theory
- Discrete Probability Distributions
- Continuous Probability Distributions
- Continuous Probability Distributions with Appealing Statistical Properties
- Continuous Probability Distributions Dealing with Extreme Events
- Stable and Tempered Stable Distributions
- Fat Tails, Scaling, and Stable Laws
- Copulas
- Applications of Order Statistics to Risk Management Problems
-
Risk Measures
- Measuring Interest Rate Risk: Effective Duration and Convexity
- Yield Curve Risk Measures
- Value-at-Risk
- Average Value-at-Risk
- Risk Measures and Portfolio Selection
- Back-Testing Market Risk Models
- Estimating Liquidity Risks
- Estimate of Downside Risk with Fat-Tailed and Skewed Models
- Moving Average Models for Volatility and Correlation, and Covariance Matrices
- Software for Financial Modeling
- Stochastic Processes and Tools
-
Term Structure Modeling
- The Concept and Measures of Interest Rate Volatility
- Short-Rate Term Structure Models
-
Static Term Structure Modeling in Discrete and Continuous Time
- INTRODUCTION TO TERM STRUCTURE MODELING
- TERM STRUCTURE MODELS
- DISCRETE-TIME MODELS OF THE TERM STRUCTURE
- DISCOUNT FUNCTION
- SPOT YIELD CURVE
- IMPLIED FORWARD RATE
- TERM STRUCTURE IN A CERTAIN ECONOMY
- TERM STRUCTURE IN THE REAL WORLD—NOTHING IS CERTAIN
- CONTINUOUS-TIME MODELS OF THE TERM STRUCTURE
- DISCOUNT FUNCTION
- FORWARD RATE
- TERM STRUCTURE IN CONTINUOUS TIME
- KEY POINTS
-
The Dynamic Term Structure Model
- KEY ELEMENTS IN A DYNAMIC TERM STRUCTURE MODEL
- EQUILIBRIUM
- ARBITRAGE-FREE
- CONTINUOUS TIME/CONTINUOUS STATE
- COMPLETENESS OF MARKETS
- DYNAMIC TERM STRUCTURE MODEL
- SPOT-RATE MODEL
- BOND-PRICE VALUATION MODEL
- THE TERM STRUCTURE
- APPLICATIONS OF THE TERM STRUCTURE MODEL
- TERM STRUCTURE OF FORWARD RATES
- HEATH, JARROW, AND MORTON MODEL OF THE TERM STRUCTURE
- MARKET PRICE OF RISK
- BOND PRICING
- CHANGE OF NUMERAIRE
- MARKET MODELS
- INTEREST RATE DERIVATIVES
- DESIGNING YOUR NEXT MODEL
- KEY POINTS
- Essential Classes of Interest Rate Models and Their Use
- A Review of No Arbitrage Interest Rate Models
- Trading Cost Models
- Volatility
- Index
Product information
- Title: Encyclopedia of Financial Models, 3 Volume Set
- Author(s):
- Release date: November 2012
- Publisher(s): Wiley
- ISBN: 9781118006733
You might also like
book
Analysis of Financial Time Series, Third Edition
This book provides a broad, mature, and systematic introduction to current financial econometric models and their …
book
Investment Banking, (Includes Valuation Models + Online Course), 3rd Edition
A timely update to the global bestselling book on investment banking and valuation – this new …
book
Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools
Volume III Valuation, Financial Modeling, and Quantitative Tools contains the most comprehensive coverage of the analytical …
book
Principles of Financial Engineering, 3rd Edition
Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex …