Description - The Mathematics of Financial Modeling and Investment Management by Sergio M. Focardi
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.
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