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Home > Financial Information Sources > Financial Modeling > The Mathematics of Financial Modeling and Investment Management

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The Mathematics of Financial Modeling and Investment Management

Sergio M. Focardi, Frank J. Fabozzi
Frank J. Fabozzi Series
Hoboken, New Jersey: Wiley, 2004
778pp, ISBN: 978-0-471-46599-7
www.wiley.com

This analyzes the overlap between mathematics and finance, focusing on financial decision-making and its economic foundations, and how key mathematical techniques can be applied to in the world of modern finance. It examines mathematical tools that provide an understanding of financial econometrics and financial economics, and discuss financial applications such as arbitrage pricing, interest rate modeling, derivative pricing, credit risk modeling, and risk management.

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The Mathematics of Financial Modeling and Investment Management

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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.

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