Encyclopedia of Financial Models

VOLUME 1 Asset Allocation Mean-Variance Model for Portfolio Construction Principles for Optimization for Portfolio SelectionAsset Allocation and Portfolio Construction Modeling in Designing the Optimal Performance-Seeking Portfolio Asset Pricing Models General Principles of Asset Pricing Capital Asset Pricing Models Modeling Asset Price Dynamics Arbitrage Pricing: Finite State Models Arbitrage Pricing: Continuous State, Continuous Time Models Bayesian Analysis and Financial Modeling Applications Basic Principles of Bayesian Analysis Bayesian Inference Bayesian Estimation of ARCH-Type Volatillity Models Bayesian Linear Regression Model Bayesian Techniques and the Black-Litterman Model Bond Valuation Bond Valuation Modeling Relative Value Analysis of Fixed Income Products Yield Curves and Valuation Lattices Using the Lattice Model to Value Bonds with Embedded Options, Floaters, and Caps/Floors Understanding the Building Blocks of OAS Valuation Quantitative Models to Value Convertible Bonds Quantitative Approaches to Inflation-Indexed Bonds Credit Risk Modeling An Introduction to Credit Risk Models Default Correlations in Intensity Model for Credit Risk Modeling Structural Models in Credit Risk Modeling Modeling Portfolio Credit Risk Simulating the Credit Loss Distribution Managing Credit Spreak Risk Using Duration Times Spread (DTS) Credit Spread Decomposition Credit Derviatives and Hedging Credit Risk Derivatives Valuation No-Arbitrage Price Relations for Forwards, Futures and Swaps No-Arbitrage Price Relations for Options Introduction to Contingent Claim Analysis Black-Scholes Option Pricing Model Basics of the Pricing of Futures/Forwards and Options Pricing Options on Interest Rate Instruments Basics of Currency Option Pricing Models Credit Default Swaps Valuation Valuation of Fixed Income Total Return Swaps Pricing of Variance, Volatility, Covariance, and Correlation Swaps Modeling, Valuation, and Risk Management of Assets and Derivatives in Energy and Shipping VOLUME 2 Equity Models and Valuation Dividend Discount Models Discounted Cash Flow Method Relative Valuation Methods for Equity Analysis Equity Analysis in a Complex World Equity Portfolio Selection Models in Practice Quantitative Equity Investing Fundamentals Quantitative Equity Portfolio Management Forecasting Stock Returns Factor Models for Portfolio Construction Factor Models Principal Component Analysis and Factor Analysis Multifactor Equity Risk Models and Their Applications Factor-Based Equity Portfolio Construction and Analysis Cross-Sectional Factor-Based Models and Trading Strategies The Fundamentals of Fundamental Factor Modeling Applications of Fundamental Multifactor Equity Risk Models Multifactor Fixed Income Risk Models and Their Applications Financial Econometrics Scope and Methods of Financial Econometrics Regression Analysis: Theory and Estimation Categorical and Dummy Variables in Regression Models Quantile Regression ARCH/GARCH Models in Applied Financial Econometrics Classification and Regression Trees and Their Use in Financial Modeling Cointegration and Its Application in Finance Nonlinearity and Nonlinear Econometric Models in Finance Robust Estimates of Betas and Correlations Working with High-Frequency Data Financial Modeling Principles Milestones in Financial Modeling From Art to Financial Modeling Basic Data Description for Financial Modeling and Analysis Time Series Concepts, Representations, and Models Extracting Risk-Neutral Density information From Options Market Prices Financial Statements Analysis Financial Ratio Analysis Financial Statements Cash Flow Analysis Finite Mathematics for Financial Modeling Important Functions and Their Features Time Value of Money Fundamentals of Matrix Algebra Difference equations Differential Equations Partial Differential Equations in Finance Model Risk and Selection Model Risk Model Selection and Its Pitfalls Managing the Model Risk with the Methods of the Probabilitistic Decision Theory: A Primer Fat Tail Models VOLUME 3 Mortgage-Backed Securities Analysis and Valuation Valuing Mortgage-Backed and Asset-Backed Securities The Active-Passive Decomposition Model for MBS Analysis of Nonagency Mortgage-Backed Securities Measurements of Prepayments for Residential Mortgage Backed Securities Prepayments and Factors Influencing the Return of Principal for Residential Mortgage Backed Securities Operational Risk Operational Risk Modeling Operational Loss Distributions Operational Risk Models Optimization Tools Introduction to Stochastic Programming and Its Applications to Finance Robust Portfolio Optimization Probability Theory Concepts of Probability Theory Discrete Probabilty Distributions Continuous Distributions Continuous Distributions with Appealing Properties Continuous Probability Distributions Dealing with Extreme Events Stable and Tempered Stable Distributions Fat Tails, Scaling, and Stable Laws Copulas Applications of Order Statistics to Risk Management Problems Risk Measures Measuring Interest Rate Risk: Effective Duration and Convexity Yield Curve Risk Measures Value at Risk Average Value at Risk Risk Measures and Portfolio Selection Back-Testing Market Risk Models Estimating Liquidity Risks Estimate of Downside Risk with Fat-Tailed and Skewed Models Moving Average Models for Volatility and Correlation, and Covariance Matrices Software for Financial Modeling Introduction to MATLAB Introduction to VBA Stochastic Processes and Tools Stochastic Integrals Stochastic Differential Equations Stochastic Processes in Continuous Time Conditional Expectation and Change of Measure Change of Time Methods Term Structure Modeling The Concept and Measures of Interest Rate Volatility Short-Rate Term Structure Models Static Term-Structure Modeling in Discrete and Continuous Time The Dynamic Term-Structure Model Essential Classes of Interest Rate Models and Their Use A Review of No Arbitrage Interest Rate Models and Their Use Trading Cost Models Modeling Market Impact Costs Volatility Monte Carlo Simulation Stochastic Volatility