The Mathematics Of Financial Modeling And Investment Management is designed to be a working tool for the investment man- agement practitioner, student, and researcher. We cover the process of financial decision-making and its economic foundations. We present financial models and theories, including CAPM, APT, factor models, models of the term structure of interest rates, and optimization method- ologies. Special emphasis is put on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. For example, tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimen- sionality reduction through factor analysis and cointegration are recent advances in financial economics that we discuss in depth.
Details about The Mathematics Of Financial Modeling And Investment Management
Special emphasis has been put on describing concepts and mathe- matical techniques, leaving aside lengthy demonstrations, which, while the substance of mathematics, are of limited interest to the practitioner and student of financial economics. From the practitioner’s point of view, what is important is to have a firm grasp of the concepts and tech- niques, which will allow one to interpret the results of simulations and analyses that are now an integral part of finance. There is no prerequisite mathematical knowledge for reading this book: all mathematical concepts used in the book are explained, starting from ordinary calculus and matrix algebra. It is, however, a demanding book given the breadth and depth of concepts covered. Mathematical concepts are in bolded type when they appear for the first time in the book, economic and finance concepts are italicized when they appear for the first time.