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The mathematics of financial modeling and investment management / Sergio M. Focardi and Frank J. Fabozzi.
- Format:
- Book
- Author/Creator:
- Focardi, Sergio M.
- Series:
- Frank J. Fabozzi series
- Language:
- English
- Subjects (All):
- Finance--Mathematical models.
- Finance.
- Business mathematics.
- Portfolio management--Mathematical models.
- Portfolio management.
- Investment analysis--Mathematical models.
- Investment analysis.
- Physical Description:
- xxii, 778 pages : illustrations ; 24 cm.
- Other Title:
- Mathematics of financial modeling & investment management
- Place of Publication:
- New York : Wiley, 2004.
- Summary:
- "The Mathematics of Financial Modeling and Investment Management"introduces the reader to the key mathematical techniques used in todays financial world, namely matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, and optimization. Using a wealth of real-world examples, Focardi and Fabozzi present the theories and techniques that are at the forefront of modern research, including fat tailed distributions, scaling laws, extreme value theory, and contagion in a multi-agent environment. Filled with in-depth insight and expert advice, this book clearly ties together financial theory and mathematical techniques.
- Notes:
- Includes bibliographical references and index.
- ISBN:
- 0471465992
- OCLC:
- 55054456
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