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Encyclopedia of Financial Models, 3 Volume Set

Encyclopedia of Financial Models, 3 Volume Set

Frank J. Fabozzi (Editor)

ISBN: 978-1-118-53995-8

Oct 2012

2100 pages



An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling

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, 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.

  • Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models
  • Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling
  • Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models
  • Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools

3 Volumes

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.

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Asset Allocation

Mean-Variance Model for Portfolio Construction

Principles for Optimization for Portfolio SelectionAsset Allocation and Portfolio

Construction Modeling in Designing the Optimal Performance-Seeking Portfolio

Asset Pricing Models

General Principles of Asset Pricing

Capital Asset Pricing Models

Modeling Asset Price Dynamics

Arbitrage Pricing: Finite State Models

Arbitrage Pricing: Continuous State, Continuous Time Models

Bayesian Analysis and Financial Modeling Applications     

Basic Principles of Bayesian Analysis

Bayesian Inference

Bayesian Estimation of ARCH-Type Volatillity Models

Bayesian Linear Regression Model

Bayesian Techniques and the Black-Litterman Model

Bond Valuation

Bond Valuation Modeling

Relative Value Analysis of Fixed Income Products

Yield Curves and Valuation Lattices

Using the Lattice Model to Value Bonds with Embedded Options, Floaters, and Caps/Floors

Understanding the Building Blocks of OAS Valuation

Quantitative Models to Value Convertible Bonds

Quantitative Approaches to Inflation-Indexed Bonds

Credit Risk Modeling

An Introduction to Credit Risk Models

Default Correlations in Intensity Model for Credit Risk Modeling

Structural Models in Credit Risk Modeling

Modeling Portfolio Credit Risk

Simulating the Credit Loss Distribution

Managing Credit Spreak Risk Using Duration Times Spread (DTS)

Credit Spread Decomposition

Credit Derviatives and Hedging Credit Risk

Derivatives Valuation

No-Arbitrage Price Relations for Forwards, Futures and Swaps

No-Arbitrage Price Relations for Options

Introduction to Contingent Claim Analysis

Black-Scholes Option Pricing Model

Basics of the Pricing of Futures/Forwards and Options

Pricing Options on Interest Rate Instruments

Basics of Currency Option Pricing Models

Credit Default Swaps Valuation

Valuation of Fixed Income Total Return Swaps

Pricing of Variance, Volatility, Covariance, and Correlation Swaps

Modeling, Valuation, and Risk Management of Assets and Derivatives in Energy and Shipping


Equity Models and Valuation

Dividend Discount Models

Discounted Cash Flow Method

Relative Valuation Methods for Equity Analysis

Equity Analysis in a Complex World

Equity Portfolio Selection Models in Practice

Quantitative Equity Investing Fundamentals

Quantitative Equity Portfolio Management

Forecasting Stock Returns

Factor Models for Portfolio Construction

Factor Models

Principal Component Analysis and Factor Analysis

Multifactor Equity Risk Models and Their Applications

Factor-Based Equity Portfolio Construction and Analysis

Cross-Sectional Factor-Based Models and Trading Strategies

The Fundamentals of Fundamental Factor Modeling

Applications of Fundamental Multifactor Equity Risk Models

Multifactor Fixed Income Risk Models and Their Applications

Financial Econometrics

Scope and Methods of Financial Econometrics

Regression Analysis: Theory and Estimation

Categorical and Dummy Variables in Regression Models

Quantile Regression

ARCH/GARCH Models in Applied Financial Econometrics

Classification and Regression Trees and Their Use in Financial Modeling

Cointegration and Its Application in Finance

Nonlinearity and Nonlinear Econometric  Models in Finance

Robust Estimates of Betas and Correlations

Working with High-Frequency Data 

Financial Modeling Principles

Milestones in Financial Modeling

From Art to Financial Modeling

Basic Data Description for Financial Modeling and Analysis

Time Series Concepts, Representations, and Models

Extracting Risk-Neutral Density information From Options Market Prices

Financial Statements Analysis

Financial Ratio Analysis

Financial Statements

Cash Flow Analysis

Finite Mathematics for Financial Modeling

Important Functions and Their Features

Time Value of Money

Fundamentals of Matrix Algebra

Difference equations

Differential Equations

Partial Differential Equations in Finance

Model Risk and Selection

Model Risk

Model Selection and Its Pitfalls

Managing the Model Risk with the Methods of the Probabilitistic Decision Theory: A Primer

Fat Tail Models


Mortgage-Backed Securities Analysis and Valuation

Valuing Mortgage-Backed and Asset-Backed Securities

The Active-Passive Decomposition Model for MBS

Analysis of Nonagency Mortgage-Backed Securities

Measurements of Prepayments for Residential Mortgage Backed Securities

Prepayments and Factors Influencing the Return of Principal for Residential Mortgage Backed Securities

Operational Risk

Operational Risk

Modeling Operational Loss Distributions

Operational Risk Models

Optimization Tools

Introduction to Stochastic Programming and Its Applications to Finance

Robust Portfolio Optimization

Probability Theory

Concepts of Probability Theory

Discrete  Probabilty Distributions

Continuous Distributions

Continuous Distributions with Appealing Properties

Continuous Probability Distributions Dealing with Extreme Events

Stable and Tempered Stable Distributions

Fat Tails, Scaling, and Stable Laws


Applications of Order Statistics to Risk Management Problems

Risk Measures

Measuring Interest Rate Risk: Effective Duration and Convexity

Yield Curve Risk Measures

Value at Risk

Average Value at Risk

Risk Measures and Portfolio Selection

Back-Testing Market Risk Models

Estimating Liquidity Risks

Estimate of Downside Risk with Fat-Tailed and Skewed Models

Moving Average Models for Volatility and Correlation, and Covariance Matrices

Software for Financial Modeling

Introduction to MATLAB

Introduction to VBA

Stochastic Processes and Tools

Stochastic Integrals

Stochastic Differential Equations

Stochastic Processes in Continuous Time

Conditional Expectation and Change of Measure

Change of Time Methods

Term Structure Modeling

The Concept and Measures of Interest Rate Volatility

Short-Rate Term Structure Models

Static Term-Structure Modeling in Discrete and Continuous Time

The Dynamic Term-Structure Model

Essential Classes of Interest Rate Models and Their Use

A Review of No Arbitrage Interest Rate Models and Their Use

Trading Cost Models

Modeling Market Impact Costs


Monte Carlo Simulation

Stochastic Volatility