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Quantitative Finance - September 07, 2010

EDHEC Professor Sergio Focardi co-authors new book on quantitative finance

Dr. Sergio Focardi, Professor of Finance at EDHEC Business School, has just released a new book entitled "Probability and Statistics for Finance", co-authored with Frank J. Fabozzi, Markus Hoechstoetter and Svetlozar T. Rachev.

Published by Wiley, the book takes a comprehensive look at how probability and statistics can be applied to the investment process.

Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, a firm understanding of this discipline is required. Probability and Statistics for Finance addresses this issue by demonstrating in a clear and concise manner how to apply quantitative methods to portfolios, and in all matter of practices.

This informative and accessible guide starts off with the basics and builds to an intermediate level of mastery. The book:

  • Outlines an array of topics in probability and statistics and how to apply them in the world of finance.

  • Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and multivariate analysis.

  • Offers real-world illustrations of the issues addressed throughout the text.
The publication covers a wide range of topics which can be used by all finance professionals as well as students aspiring to enter the field of finance.

Dr. Focardi is a specialist in quantitative equity management, portfolio optimisation, financial modelling and econometrics, and risk management. He holds an MSc in Electronic Engineering from the Swiss Federal Institute of Technology and a PhD in mathematical finance from the University of Karlsruhe.

He was previously a partner at the Intertek Group, a firm specialised in research, training and consulting in quantitative portfolio management and mathematical finance. Prior to founding the Intertek Group in 1993, he was the Managing Director of the Italian subsidiary of Control Data Corporation. His research interests include the econometrics of large equity portfolios and the modelling of interactions between multiple heterogeneous agents. He has developed proprietary models for equity management. His work on quantitative equity management, trading, investment management, portfolio optimisation, credit risk contagion, and financial econometrics has appeared in leading academic and practitioner journals. He sits on the editorial board of the Journal of Portfolio Management. Professor Focardi has authored and co-authored award-winning books on financial modelling and investment management and CFA Institute monographs on equity management and quantitative finance.

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