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<< FINANCIAL MODELING
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Financial Modeling Using Excel and VBA
Chandan Sengupta
(c) 2004
John Wiley & Sons
- Chp.01 > Introduction to Financial Modeling
- Chp.02 > Excel Basics
- Chp.03 > Advanced Excel Features
- Chp.04 > Excel's Built-In Functions and Analysis Tools
- Chp.05 > How to Build Good Excel Models
- Chp.06 > Financial Statements Forecasting
- Chp.07 > Time Value of Money
- Chp.08 > Financial Planning and Investments
- Chp.09 > Analyzing Market History
- Chp.10 > Bond Pricing and Duration
- Chp.11 > Simulating Stock Prices
- Chp.12 > Options and Option Portfolios
- Chp.13 > Binomial Option Pricing
- Chp.14 > Introduction to VBA
- Chp.15 > VBA Essentials
- Chp.16 > Sub and Function Procedures
- Chp.17 > Debugging VBA Models
- Chp.18 > How to Build Good VBA Models
- Chp.19 > Time Value of Money
- Chp.20 > Financial Planning and Investments
- Chp.21 > Analyzing Market History
- Chp.22 > Simulating Stock Prices
- Chp.23 > Options and Option Portfolios
- Chp.24 > Binomial Option Pricing
Advanced Modelling in Finance using Excel and VBA
Mary Jackson, Mike Staunton
(c) 2001
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > Advanced Excel Functions and Procedures
- Chp.03 > Introduction to VBA
- Chp.04 > Writing VBA User-defined Functions
- Chp.05 > Introduction to Equities
- Chp.06 > Portfolio Optimisation
- Chp.07 > Asset Pricing
- Chp.08 > Performance Measurement and Attribution
- Chp.09 > Introduction to Options on Equities
- Chp.10 > Binomial Trees
- Chp.11 > The Black-Scholes Formula
- Chp.12 > Other Numerical Methods for European Options
- Chp.13 > Non-normal Distributions and Implied Volatility
- Chp.14 > Introduction to Valuing Options on Bonds
- Chp.15 > Interest Rate Models
- Chp.16 > Matching the Term Structure
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<< QUANTITATIVE FINANCE
-----------------------------
Portfolio Construction and Analytics
Dessislava A. Pachamanova, Frank J. Fabozzi
(c) 2016
John Wiley & Sons
- Chp.01 > Introduction to Portfolio Management and Analytics
- Chp.02 > Random Variables, Probability Distributions, and Important Statistical Concepts
- Chp.03 > Important Probability Distributions
- Chp.04 > Statistical Estimation Models
- Chp.05 > Simulation Modeling
- Chp.06 > Optimization Modeling
- Chp.07 > Optimization under Uncertainty
- Chp.08 > Asset Diversification
- Chp.09 > Factor Models
- Chp.10 > Benchmarks and the Use of Tracking Error in Portfolio Construction
- Chp.11 > Advances in Quantitative Equity Portfolio Management
- Chp.12 > Factor-Based Equity Portfolio Construction and Performance Evaluation
- Chp.13 > Fundamentals of Fixed Income Portfolio Management
- Chp.14 > Factor-Based Fixed Income Portfolio Construction and Evaluation
- Chp.15 > Constructing Liability-Driven Portfolios
- Chp.16 > Basics of Financial Derivatives
- Chp.17 > Using Derivatives in Equity Portfolio Management
- Chp.18 > Using Derivatives in Fixed Income Portfolio Management
The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications
Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev, Bala G. Arshanapalli
(c) 2014
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > Simple Linear Regression
- Chp.03 > Multiple Linear Regression
- Chp.04 > Building and Testing a Multiple Linear Regression Model
- Chp.05 > Introduction to Time Series Analysis
- Chp.06 > Regression Models with Categorical Variables
- Chp.07 > Quantile Regressions
- Chp.08 > Robust Regressions
- Chp.09 > Autoregressive Moving Average Models
- Chp.10 > Cointegration
- Chp.11 > Autoregressive Heteroscedasticity Model and Its Variants
- Chp.12 > Factor Analysis and Principal Components Analysis
- Chp.13 > Model Estimation
- Chp.14 > Model Selection
- Chp.15 > Formulating and Implementing Investment Strategies Using Financial Econometrics
Mathematical Methods for Finance: Tools for Asset and Risk Management
Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
(c) 2013
John Wiley & Sons
- Chp.01 > Basic Concepts: Sets, Functions, and Variables
- Chp.02 > Differential Calculus
- Chp.03 > Integral Calculus
- Chp.04 > Matrix Algebra
- Chp.05 > Probability: Basic Concepts
- Chp.06 > Probability: Random Variables and Expectations
- Chp.07 > Optimization
- Chp.08 > Difference Equations
- Chp.09 > Differential Equations
- Chp.10 > Stochastic Integrals
- Chp.11 > Stochastic Differential Equations
Financial Models with Lévy Processes and Volatility Clustering
Svetlozar T. Rachev, Young Shin Kim, Michele Leonardo Bianchi, Frank J. Fabozzi
(c) 2011
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > Probability Distributions
- Chp.03 > Stable and Tempered Stable Distributions
- Chp.04 > Stochastic Processes in Continuous Time
- Chp.05 > Conditional Expectation and Change of Measure
- Chp.06 > Exponential Lévy Models
- Chp.07 > Option Pricing in Exponential Lévy Models
- Chp.08 > Simulation
- Chp.09 > Multi-Tail t-Distribution
- Chp.10 > Non-Gaussian Portfolio Allocation
- Chp.11 > Normal GARCH Models
- Chp.12 > Smoothly Truncated Stable GARCH Models
- Chp.13 > Infinitely Divisible GARCH Models
- Chp.14 > Option Pricing with Monte Carlo Methods
- Chp.15 > American Option Pricing with Monte Carlo Methods
Probability and Statistics for Finance
Svetlozar T. Rachev, Markus Höchstötter, Frank J. Fabozzi, Sergio M. Focardi
(c) 2010
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > Basic Data Analysis
- Chp.03 > Measures of Location and Spread
- Chp.04 > Graphical Representation of Data
- Chp.05 > Multivariate Variables and Distributions
- Chp.06 > Introduction to Regression Analysis
- Chp.07 > Introduction to Time Series Analysis
- Chp.08 > Concepts of Probability Theory
- Chp.09 > Discrete Probability Distributions
- Chp.10 > Continuous Probability Distributions
- Chp.11 > Continuous Probability Distributions with Appealing Statistical Properties
- Chp.12 > Continuous Probability Distributions Dealing with Extreme Events
- Chp.13 > Parameters of Location and Scale of Random Variables
- Chp.14 > Joint Probability Distributions
- Chp.15 > Conditional Probability and Bayes' Rule
- Chp.16 > Copula and Dependence Measures
- Chp.17 > Point Estimators
- Chp.18 > Confidence Intervals
- Chp.19 > Hypothesis Testing
- Chp.20 > Estimates and Diagnostics for Multivariate Linear Regression Analysis
- Chp.21 > Designing and Building a Multivariate Linear Regression Model
- Chp.22 > Testing the Assumptions of the Multivariate Linear Regression Model
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures
Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
(c) 2008
John Wiley & Sons
- Chp.01 > Concepts of Probability
- Chp.02 > Optimization
- Chp.03 > Probability Metrics
- Chp.04 > Ideal Probability Metrics
- Chp.05 > Choice under Uncertainty
- Chp.06 > Risk and Uncertainty
- Chp.07 > Average Value-at-Risk
- Chp.08 > Optimal Portfolios
- Chp.09 > Benchmark Tracking Problems
- Chp.10 > Performance Measures
Bayesian Methods in Finance
Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva, Frank J. Fabozzi
(c) 2008
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > The Bayesian Paradigm
- Chp.03 > Prior and Posterior Information, Predictive Inference
- Chp.04 > Bayesian Linear Regression Model
- Chp.05 > Bayesian Numerical Computation
- Chp.06 > Bayesian Framework For Portfolio Allocation
- Chp.07 > Prior Beliefs and Asset Pricing Models
- Chp.08 > The Black-Litterman Portfolio Selection Framework
- Chp.09 > Market Efficiency and Return Predictability
- Chp.10 > Volatility Models
- Chp.11 > Bayesian Estimation of ARCH-Type Volatility Models
- Chp.12 > Bayesian Estimation of Stochastic Volatility Models
- Chp.13 > Advanced Techniques for Bayesian Portfolio Selection
- Chp.14 > Multifactor Equity Risk Models
Robust Portfolio Optimization and Management
Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova, Sergio M. Focardi
(c) 2007
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > Mean-Variance Analysis and Modern Portfolio Theory
- Chp.03 > Advances in the Theory of Portfolio Risk Measures
- Chp.04 > Portfolio Selection in Practice
- Chp.05 > Classical Asset Pricing
- Chp.06 > Forecasting Expected Return and Risk
- Chp.07 > Robust Estimation
- Chp.08 > Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model
- Chp.09 > Mathematical and Numerical Optimization
- Chp.10 > Optimization under Uncertainty
- Chp.11 > Implementing and Solving Optimization Problems in Practice
- Chp.12 > Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization
- Chp.13 > The Practice of Robust Portfolio Management: Recent Trends and New Directions
- Chp.14 > Quantitative Investment Management Today and Tomorrow
Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing
Svetlozar T. Rachev, Christian Menn, Frank J. Fabozzi
(c) 2005
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > Discrete Probability Distributions
- Chp.03 > Continuous Probability Distributions
- Chp.04 > Describing a Probability Distribution Function: Statistical Moments and Quantiles
- Chp.05 > Joint Probability Distributions
- Chp.06 > Copulas
- Chp.07 > Stable Distributions
- Chp.08 > Estimation Methodologies
- Chp.09 > Stochastic Processes in Discrete Time and Time Series Analysis
- Chp.10 > Stochastic Processes in Continuous Time
- Chp.11 > Equity and Bond Return Distributions
- Chp.12 > Risk Measures and Portfolio Selection
- Chp 13 > Risk Measures in Portfolio Optimization and Performance Measures
- Chp.14 > Market Risk
- Chp.15 > Credit Risk
- Chp.16 > Operational Risk
- Chp.17 > Introduction to Option Pricing and the Binomial Model
- Chp.18 > Black-Scholes Option Pricing Model
- Chp.19 > Extension of the Black-Scholes Model and Alternative Approaches
The Mathematics of Financial Modeling and Investment Management
Sergio M. Focardi, Frank J. Fabozzi
(c) 2004
John Wiley & Sons
- Chp.01 > From Art to Engineering in Finance
- Chp.02 > Overview of Financial Markets, Financial Assets, and Market Participants
- Chp.03 > Milestones in Financial Modeling and Investment Management
- Chp.04 > Principles of Calculus
- Chp.05 > Matrix Algebra
- Chp.06 > Concepts of Probability
- Chp.07 > Optimization
- Chp.08 > Stochastic Integrals
- Chp.09 > Differential Equations and Difference Equations
- Chp.10 > Stochastic Differential Equations
- Chp.11 > Financial Econometrics: Time Series Concepts, Representations, and Models
- Chp.12 > Financial Econometrics: Model Selection, Estimation, and Testing
- Chp.13 > Fat Tails, Scaling, and Stable Laws
- Chp.14 > Arbitrage Pricing: Finite-State Models
- Chp.15 > Arbitrage Pricing: Continuous-State, Continuous-Time Models
- Chp.16 > Portfolio Selection Using Mean-Variance Analysis
- Chp.17 > Capital Asset Pricing Model
- Chp.18 > Multifactor Models and Common Trends for Common Stocks
- Chp.19 > Equity Portfolio Management
- Chp.20 > Term Structure Modeling and Valuation of Bonds and Bond Options
- Chp.21 > Bond Portfolio Management
- Chp.22 > Credit Risk Modeling and Credit Default Swaps
- Chp.23 > Risk Management
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<< EQUITY
---------------
Quantitative Equity Investing: Techniques and Strategies
Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
(c) 2010
John Wiley & Sons
- Chp.01 > Introduction
- Chp.02 > Financial Econometrics I: Linear Regressions
- Chp.03 > Financial Econometrics II: Time Series
- Chp.04 > Common Pitfalls in Financial Modeling
- Chp.05 > Factor Models and Their Estimation
- Chp.06 > Factor-Based Trading Strategies I: Factor Construction and Analysis
- Chp.07 > Factor-Based Trading Strategies II: Cross-Sectional Models and Trading Strategies
- Chp.08 > Portfolio Optimization: Basic Theory and Practice
- Chp.09 > Portfolio Optimization: Bayesian Techniques and the Black-Litterman Model
- Chp.10 > Robust Portfolio Optimization
- Chp.11 > Transaction Costs and Trade Execution
- Chp.12 > Investment Management and Algorithmic Trading
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<< RISK MANAGEMENT
------------------------
Mathematics and Statistics for Financial Risk Management
Michael B. Miller
2nd Edition
(c) 2014
John Wiley & Sons
- Chp.01 > Some Basic Math
- Chp.02 > Probabilities
- Chp.03 > Basic Statistics
- Chp.04 > Distributions
- Chp.05 > Multivariate Distributions and Copulas
- Chp.06 > Bayesian Analysis
- Chp.07 > Hypothesis Testing and Confidence Intervals
- Chp.08 > Matrix Algebra
- Chp.09 > Vector Spaces
- Chp.10 > Linear Regression Analysis
- Chp.11 > Time Series Models
- Chp.12 > Decay Factors
Value at Risk: The New Benchmark for Managing Financial Risk
Philippe Jorion
3rd Edition
(c) 2007
McGraw-Hill
- Chp.01 > The Need for Risk Management
- Chp.02 > Lessons from Financial Disasters
- Chp.03 > VAR-Based Regulatory Capital
- Chp.04 > Tools for Measuring Risk
- Chp.05 > Computing VAR
- Chp.06 > Backtesting VAR
- Chp.07 > Portfolio Risk: Analytical Methods
- Chp.08 > Multivariate Models
- Chp.09 > Forecasting Risk and Correlations
- Chp.10 > VAR Methods
- Chp.11 > VAR Mapping
- Chp.12 > Monte Carlo Methods
- Chp.13 > Liquidity Risk
- Chp.14 > Stress Testing
- Chp.15 > Using VAR to Measure and Control Risk
- Chp.16 > Using VAR for Active Risk Management
- Chp.17 > VAR and Risk Budgeting in Investment Management
- Chp.18 > Credit Risk Management
- Chp.19 > Operational Risk Management
- Chp.20 > Integrated Risk Management
- Chp.21 > Risk Management Guidelines and Pitfalls
- Chp.22 > Conclusions
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