Portfolio Management
The Mathematics of Financial Modeling and Investment Management

Authors: Sergio M. Focardi, Frank J. Fabozzi
Editions: Wiley Finance
Pages: 800 pages
Date: April 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.

The Mathematics of Financial Modeling & Investment Management was selected by RiskBook.com for "Best of 2004 Book Awards" and by Financial Engineering News as one of the top three books in 2005. It was translated into Simplified Chinese in 2011 by China Renmin University Press.

About the Authors:

Sergio Focardi was 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 at the time of writing. Focardiís 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. Sergio Focardi is currently Professor of Finance at EDHEC Business School.

Frank J. Fabozzi, PhD, CFA, was the Frederick Frank Adjunct Professor of Finance at Yale Universityís School of Management at the time of writing, and is Editor of the Journal of Portfolio Management. Fabozzi is a Chartered Financial Analyst and Certified Public Accountant who has authored and edited many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University. Frank Fabozzi is currently Professor of Finance at EDHEC Business School.

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