Volume 3 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 3 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 forty-four informative entries and provides readers with a balanced understanding of today s dynamic world of financial modeling.
Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and VolatilityEmphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modelingThe 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models
Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.
Volume III Mortgage-Backed Securities Analysis and Valuation 1 Valuing Mortgage-Backed and Asset-Backed Securities 3 The Active-Passive Decomposition Model for MBS 17 Analysis of Nonagency Mortgage-Backed Securities 29 Measurements of Prepayments for Residential Mortgage-Backed Securities 47 Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities 65 Operational Risk 79 Operational Risk 81 Operational Risk Models 91 Modeling Operational Loss Distributions 103 Optimization Tools 121 Introduction to Stochastic Programming and Its Applications to Finance 123 Robust Portfolio Optimization 137 Probability Theory 149 Concepts of Probability Theory 151 Discrete Probability Distributions 165 Continuous Probability Distributions 195 Continuous Probability Distributions with Appealing Statistical Properties 207 Continuous Probability Distributions Dealing with Extreme Events 227 Stable and Tempered Stable Distributions 241 Fat Tails, Scaling, and Stable Laws 259 Copulas 283 Applications of Order Statistics to Risk Management Problems 289 Risk Measures 297 Measuring Interest Rate Risk: Effective Duration and Convexity 299 Yield Curve Risk Measures 307 Value-at-Risk 319 Average Value-at-Risk 331 Risk Measures and Portfolio Selection 349 Back-Testing Market Risk Models 361 Estimating Liquidity Risks 371 Estimate of Downside Risk with Fat-Tailed and Skewed Models 381 Moving Average Models for Volatility and Correlation, and Covariance Matrices 395 Software for FinancialModeling 415 Introduction to Financial Model Building with MATLAB 417 Introduction to Visual Basic for Applications 449 Stochastic Processes and Tools 469 Stochastic Integrals 471 Stochastic Differential Equations 485 Stochastic Processes in Continuous Time 495 Conditional Expectation and Change of Measure 507 Change of Time Methods 519 Term StructureModeling 531 The Concept and Measures of Interest Rate Volatility 533 Short-Rate Term Structure Models 543 Static Term Structure Modeling in Discrete and Continuous Time 559 The Dynamic Term Structure Model 575 Essential Classes of Interest Rate Models and Their Use 593 A Review of No Arbitrage Interest Rate Models 603 Trading CostModels 621 Modeling Market Impact Costs 623 Volatility 635 Monte Carlo Simulation in Finance 637 Stochastic Volatility 653