Volume 2 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
2 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
forty-four informative entries and provides readers with a balanced
understanding of today’s dynamic world of financial modeling.
* 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
* 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.
表中的内容
Volume II
Equity Models and Valuation 1
Dividend Discount Models 3
Discounted Cash Flow Methods for Equity Valuation 15
Relative Valuation Methods for Equity Analysis 33
Equity Analysis in a Complex Market 47
Equity Portfolio Selection Models in Practice 61
Basics of Quantitative Equity Investing 89
Quantitative Equity Portfolio Management 107
Forecasting Stock Returns 121
Factor Models for Portfolio Construction 135
Factor Models 137
Principal Components Analysis and Factor Analysis 153
Multifactor Equity Risk Models and Their Applications 171
Factor-Based Equity Portfolio Construction and Analysis 195
Cross-Sectional Factor-Based Models and Trading Strategies 213
The Fundamentals of Fundamental Factor Models 243
Multifactor Equity Risk Models and Their Applications 255
Multifactor Fixed Income Risk Models and Their Applications 267
Financial Econometrics 293
Scope and Methods of Financial Econometrics 295
Regression Analysis: Theory and Estimation 305
Categorical and Dummy Variables in Regression Models 333
Quantile Regression 353
ARCH/GARCH Models in Applied Financial Econometrics 359
Classification and Regression Trees and Their Use in Financial Modeling 375
Applying Cointegration to Problems in Finance 383
Nonlinearity and Nonlinear Econometric Models in Finance 401
Robust Estimates of Betas and Correlations 437
Working with High-Frequency Data 449
Financial Modeling Principles 465
Milestones in Financial Modeling 467
From Art to Financial Modeling 479
Basic Data Description for Financial Modeling and Analysis 485
Time Series Concepts, Representations, and Models 501
Extracting Risk-Neutral Density Information from Options Market Prices 521
Financial Statement Analysis 529
Financial Statements 531
Financial Ratio Analysis 545
Cash-Flow Analysis 565
Finite Mathematics for Financial Modeling 579
Important Functions and Their Features 581
Time Value of Money 595
Fundamentals of Matrix Algebra 621
Difference Equations 629
Differential Equations 643
Partial Differential Equations in Finance 659
Model Risk and Selection 689
Model Risk 691
Model Selection and Its Pitfalls 699
Managing the Model Risk with the Methods
of the Probabilistic Decision Theory 719
Fat-Tailed Models for Risk Estimation 731
关于作者
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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