Encyclopedia of Financial Models, Volume I

Frank J. Fabozzi 지음

Wiley 2012년 09월 26일 출간

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Volume 1 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 1 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 thirty-nine informative entries and provides readers with a balanced understanding of today?s dynamic world of financial modeling. ? Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation ? 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

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Contributors xi Preface xvii Guide to the Encyclopedia of Financial Models xxxiii Index 569 Volume I Asset Allocation 1 Mean-Variance Model for Portfolio Selection 3 Principles of Optimization for Portfolio Selection 21 Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio 35 Asset Pricing Models 47 General Principles of Asset Pricing 49 Capital Asset Pricing Models 65 Modeling Asset Price Dynamics 79 Arbitrage Pricing: Finite-State Models 99 Arbitrage Pricing: Continuous-State, Continuous-Time Models 121 Bayesian Analysis and Financial Modeling Applications 137 Basic Principles of Bayesian Analysis 139 Introduction to Bayesian Inference 151 Bayesian Linear Regression Model 163 Bayesian Estimation of ARCH-Type Volatility Models 175 Bayesian Techniques and the Black-Litterman Model 189 Bond Valuation 207 Basics of Bond Valuation 209 Relative Value Analysis of Fixed-Income Products 225 Yield Curves and Valuation Lattices 235 Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors 243 Understanding the Building Blocks for OAS Models 257 Quantitative Models to Value Convertible Bonds 271 Quantitative Approaches to Inflation-Indexed Bonds 277 Credit Risk Modeling 297 An Introduction to Credit Risk Models 299 Default Correlation in Intensity Models for Credit Risk Modeling 313 Structural Models in Credit Risk Modeling 341 Modeling Portfolio Credit Risk 361 Simulating the Credit Loss Distribution 377 Managing Credit Spread Risk Using Duration Times Spread (DTS) 391 Credit Spread Decomposition 401 Credit Derivatives and Hedging Credit Risk 407 Derivatives Valuation 421 No-Arbitrage Price Relations for Forwards, Futu

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저자(글) Frank J. Fabozzi