Professional Documents
Culture Documents
OF
FINANCIAL MODELS
Volume II
WILEY
John Wiley & Sons, Inc.
Contents
Contributors
Preface
Guide to the Encyclopedia of
Financial Models
Index
XI
xvii
xxxiii
757
Volume I
Asset Allocation
21
35
47
49
65
79
99
121
139
151
163
175
189
Bond Valuation
Basics of Bond Valuation
Relative Value Analysis of Fixed-Income
Products
Yield Curves and Valuation Lattices
Using the Lattice Model to Value Bonds with
Embedded Options, Floaters, Option, and
Caps/Floors
Derivatives Valuation
No-Arbitrage Price Relations for Forwards,
Futures, and Swaps
No-Arbitrage Price Relations for Options
Introduction to Contingent Claims Analysis
Black-Scholes Option Pricing Model
207
209
225
235
243
257
271
277
297
299
313
341
361
377
391
401
407
421
423
437
457
465
vn
viii
Contents
477
489
507
525
541
545
555
Volume II
Equity Models and Valuation
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
15
33
47
61
89
107
121
135
137
153
171
Financial Statements
Financial Ratio Analysis
Cash-Flow Analysis
213
243
383
401
437
449
465
467
479
485
501
521
529
531
545
565
375
Model Risk
Model Selection and Its Pitfalls
Managing the Model Risk with the Methods
of the Probabilistic Decision Theory
Fat-Tailed Models for Risk Estimation
581
595
621,
629
643
659
689
691
699
719
731
255
267
293
295
305
333
353
359
Volume III
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
1
3
17
29
CONTENTS
47
65
Operational Risk
79
Operational Risk
Operational Risk Models
Modeling Operational Loss Distributions
81
91
103
Optimization Tools
Introduction to Stochastic Programming and
Its Applications to Finance
Robust Portfolio Optimization
Probability Theory
Concepts of Probability Theory
Discrete Probability Distributions
Continuous Probability Distributions
Continuous Probability Distributions with
Appealing Statistical 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
121
123
137
149
151
165
195
207
227
241
259
283
289
297
299
307
319
331
349
IX
361
371
381
395
417
449
469
Stochastic Integrals
Stochastic Differential Equations
Stochastic Processes in Continuous Time
Conditional Expectation and Change of
Measure
Change of Time Methods
471
485
495
Volatility
Monte Carlo Simulation in Finance
Stochastic Volatility
507
519
531
533
543
559
575
593
603
621
623
635
637
653