The Mathematics of Financial Modeling and Investment Management (PDF)

the mathematics of financial modeling & investmentmanagement

The Mathematics of Financial Modeling & Investment Managementcovers a wide range of technical topics in mathematics andfinance-enabling the investment management practitioner,researcher, or student to fully understand the process of financialdecision-making and its economic foundations.

This comprehensive resource will introduce you to key mathematicaltechniques-matrix algebra, calculus, ordinary differentialequations, probability theory, stochastic calculus, time seriesanalysis, optimization-as well as show you how these techniques aresuccessfully implemented in the world of modern finance. Specialemphasis is placed on the new mathematical tools that allow adeeper understanding of financial econometrics and financialeconomics. Recent advances in financial econometrics, such as toolsfor estimating and representing the tails of the distributions, theanalysis of correlation phenomena, and dimensionality reductionthrough factor analysis and cointegration are discussed indepth.

Using a wealth of real-world examples, Focardi and Fabozzisimultaneously show both the mathematical techniques and the areasin finance where these techniques are applied. They also cover avariety 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 ofFinancial Modeling & Investment Management clearly tiestogether financial theory and mathematical techniques.