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Quantitative Finance
The Basics of Econometrics: Tools, Concepts, and Asset Management Applications

Authors: Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev, Bala G. Arshanapalli with Markus Hoechstoetter
Editions: Wiley
Pages: 432 pages
Date: April 2014
 
 
 
Summary
As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance.

Financial Econometric Basics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. In addition, an associated website contains a number of real-world case studies related to important issues in this area.
  • Covers the basics of financial econometrics—an important topic in quantitative finance
  • Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk
  • A companion website includes mini-cases that explain important topics in portfolio management, credit risk modeling, option pricing, and risk management
Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.

Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at Yale University's School of Management from 1994 to 2011 and was a visiting professor of finance and accounting at MIT's Sloan School of Management from 1986 to 1992. He is also Editor of the Journal of Portfolio Management.