Volume 1 of the Encyclopedia of Financial Models
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 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, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume 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 thirty-nine informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling.
* Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation
* Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling
* The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models
Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.
Inhaltsverzeichnis
Contributors xi
Preface xvii
Guide to the Encyclopedia of Financial Models xxxiii
Index 569
Volume I
Asset Allocation 1
Mean-Variance Model for Portfolio Selection 3
Principles of Optimization for Portfolio Selection 21
Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio 35
Asset Pricing Models 47
General Principles of Asset Pricing 49
Capital Asset Pricing Models 65
Modeling Asset Price Dynamics 79
Arbitrage Pricing: Finite-State Models 99
Arbitrage Pricing: Continuous-State, Continuous-Time Models 121
Bayesian Analysis and Financial Modeling Applications 137
Basic Principles of Bayesian Analysis 139
Introduction to Bayesian Inference 151
Bayesian Linear Regression Model 163
Bayesian Estimation of ARCH-Type Volatility Models 175
Bayesian Techniques and the Black-Litterman Model 189
Bond Valuation 207
Basics of Bond Valuation 209
Relative Value Analysis of Fixed-Income Products 225
Yield Curves and Valuation Lattices 235
Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors 243
Understanding the Building Blocks for OAS Models 257
Quantitative Models to Value Convertible Bonds 271
Quantitative Approaches to Inflation-Indexed Bonds 277
Credit Risk Modeling 297
An Introduction to Credit Risk Models 299
Default Correlation in Intensity Models for Credit Risk Modeling 313
Structural Models in Credit Risk Modeling 341
Modeling Portfolio Credit Risk 361
Simulating the Credit Loss Distribution 377
Managing Credit Spread Risk Using Duration Times Spread (DTS) 391
Credit Spread Decomposition 401
Credit Derivatives and Hedging Credit Risk 407
Derivatives Valuation 421
No-Arbitrage Price Relations for Forwards, Futures, and Swaps 423
No-Arbitrage Price Relations for Options 437
Introduction to Contingent Claims Analysis 457
Black-Scholes Option Pricing Model 465
Pricing of Futures/Forwards and Options 477
Pricing Options on Interest Rate Instruments 489
Basics of Currency Option Pricing Models 507
Credit Default Swap Valuation 525
Valuation of Fixed Income Total Return Swaps 541
Pricing of Variance, Volatility, Covariance, and Correlation Swaps 545
Modeling, Pricing, and Risk Management of Assets and Derivatives in Energy and Shipping 555
Über den Autor
Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’s School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.
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