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The Mathematics of Financial Modeling and Investment Management

Librairie Eyrolles - Paris 5e

The Mathematics of Financial Modeling and Investment Management

The Mathematics of Financial Modeling and Investment Management

Sergio M. Focardi, Frank J. Fabozzi

778 pages, parution le 04/05/2004


The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance–enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations.

This comprehensive resource will introduce you to key mathematical techniques–matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization–as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth.

Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as:

  • Arbitrage pricing
  • Interest rate modeling
  • Derivative pricing
  • Credit risk modeling
  • Equity and bond portfolio management
  • Risk management
  • And much more

Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.

L'auteur - Sergio M. Focardi

Sergio Focardi is a founding partner of The Intertek Group, a Paris-based firm providing consulting on advanced mathematical methods in banking and finance, and a cofounder of CINEF (Center for Interdisciplinary Research in Economics and Finance) at the University of Genoa, Italy. Focardi's research interests focus on statistical arbitrage, dynamic factor analysis, and financial modeling in a multiple heterogeneous interacting agents framework. He has published numerous articles and coauthored the books Modeling the Market: New Theories and Techniques and Risk Management: Framework, Methods, and Practice (both published by Wiley). Focardi holds a degree in electronic engineering from the University of Genoa.

L'auteur - Frank J. Fabozzi

Frank J. Fabozzi, Ph.D., CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Dr. Fabozzi is editor of the Journal of Portfolio Management and the bestselling author of more than forty books, including the acclaimed The Handbook of Fixed Income Securities. Prior to joining the Yale faculty, he was on the faculty of MIT's Sloan School of Management.


  • From Art to Engineering in Finance
  • Overview of Financial Markets, Financial Assets, and Market Participants
  • Milestones in Financial Modeling and Investment Management
  • Principles of Calculus
  • Matrix Algebra
  • Concepts of Probability
  • Optimization
  • Stochastic Integrals
  • Differential Equations and Difference Equations
  • Stochastic Differential Equations
  • Financial Econometrics: Time Series
  • Financial Econometrics: Model Selection, Estimation, and Testing
  • Fat Trails, Scaling, and Stable Laws
  • Arbitrage Pricing: Finite-State Models
  • Arbitrage Pricing: Continuous-State, Continuous-Time Models
  • Portfolio Selection using Mean-Variance Analysis
  • Capital Asset pricing Model
  • Multifactor Models and Common Trends for Common Stocks
  • Equity Portfolio Management
  • Term Structure Modeling and Valuation of Bonds and Bond Optics
  • Bond Portfolio Management
  • Credit Risk Modeling and Credit Default Swaps
  • Risk Management
Voir tout

Caractéristiques techniques

Éditeur(s) Wiley
Auteur(s) Sergio M. Focardi, Frank J. Fabozzi
Parution 04/05/2004
Nb. de pages 778
Format 15,5 x 23,5
Couverture Relié
Poids 1050g
Intérieur Noir et Blanc
EAN13 9780471465997
ISBN13 978-0-471-46599-7


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