Financial Modeling
Encyclopedia of Financial Models, 3 Volume Set

Authors: Frank J. Fabozzi
Editions: Wiley
Pages: 2100 pages
Date: November 2012
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, Professor of Finance at EDHEC Business School, 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.

Volume 1 contains coverage of Asset Allocation, Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation, Credit Risk Modeling, and Derivatives Valuation.

Volume 2 explores Equity Models and Valuation, Factor Models for Portfolio Construction, Financial Econometrics, Financial Modeling Principles, Financial Statements Analysis, Finite Mathematics for Financial Modeling, and Model Risk and Selection.

Volume 3 addresses Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility.

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:
  • 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.

About the Author:

Frank J. Fabozzi is Professor of Finance at EDHEC Business School. He was previously Professor in the Practice of Finance and Becton Fellow at the Yale School of Management. he has also held visiting appointments at Princeton University and the MIT Sloan School of Management. His research focuses on structured products and the measurement, modelling, and management of risk. His work has appeared in leading journals, including the Journal of Finance, the Journal of Financial and Quantitative Analysis, and Operations Research. He has been the Editor of the Journal of Portfolio Management since 1986. In 2002, he was inducted into the Fixed Income Analysts Society’s Hall of Fame for his lifetime contributions to the advancement of fixed-income analysis and portfolio management. He has edited and/or authored over one hundred books and is the eponymous manager of an authoritative series of finance books for practitioners and academics. In 2007, he received the C. Stewart Sheppard Award from the CFA Institute for his outstanding contribution to the education of professional investors. He advises financial institutions and US government agencies and is on the board of directors of the BlackRock family of closed-end funds.

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