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Review
"This outstanding reference surveys it all...if you are a quantitative professional, you want this book on your shelf." –– Riskbook.com
"I strongly recommend this [book]....If I’d had this book available a few years ago, it would have helped me start a career in financial engineering." Financial Engineering News– in naming Mathematics of Financial Modeling as one of its Top 3 books for 2005
Product Description
the mathematics of financial modeling & investment management
The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance–enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision–making and its economic foundations.
This comprehensive resource will introduce you to key mathematical techniques–matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization–as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth.
Using a wealth of real–world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as:
∗ Arbitrage pricing
∗ Interest rate modeling
∗ Derivative pricing
∗ Credit risk modeling
∗ Equity and bond portfolio management
∗ Risk management
∗ And much more
Filled with in–depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.
The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance–enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision–making and its economic foundations.
This comprehensive resource will introduce you to key mathematical techniques–matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization–as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth.
Using a wealth of real–world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as:
∗ Arbitrage pricing
∗ Interest rate modeling
∗ Derivative pricing
∗ Credit risk modeling
∗ Equity and bond portfolio management
∗ Risk management
∗ And much more
Filled with in–depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.
Inside This Book
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First Sentence
It is often said that investment management is an art, not a science. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
It is often said that investment management is an art, not a science. Read the first page
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Concordance
Browse Sample PagesConcordance
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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3 reviews
7 of 7 people found the following review helpful
A quick way to refresh your math for quant interview
29 April 2007
Format:Hardcover
Got this book to prepare for my interview. It is a nice book that covers all the topics. It's not for beginners. It's good for people who learned the topics before and just need a complete refresh of memory in a short period of time.
7 of 9 people found the following review helpful
A dictionary
11 Jan 2007
Format:Hardcover
This book looks like a dictionary: thousands of entries and few words to explain them...
3 of 9 people found the following review helpful
Too bad!
25 Feb 2007
Format:Hardcover
This book's printing quality is unusually terrible and the contents are also difficulty to read.
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