The Mathematics of Financial Modelingand Investment Management

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Frontmatter Page i Monday, March 8, 2004 10:06 AM The Mathematics of Financial Modeling and Investment Management SERGIO M. FOCA ...

Frontmatter Page ii Monday, March 8, 2004 10:06 AM SMF To Dominique, Leila, Guillaume, and Richard FJF To my beautiful wife Donn ...

Frontmatter Page iii Monday, March 8, 2004 10:06 AM Contents Preface xiv Acknowledgments xvi About the Authors xviii Commonly Us ...

Frontmatter Page iv Monday, March 8, 2004 10:06 AM iv Contents Trading Locations 45 Stock Market Indicators 46 Trading Arrange ...

Frontmatter Page v Monday, March 8, 2004 10:06 AM Contents v Density of Points 99 Functions 100 Variables 101 Limits 102 Con ...

Frontmatter Page vi Monday, March 8, 2004 10:06 AM vi Contents Outcomes and Events 169 Probability 170 Measure 171 Random Var ...

Frontmatter Page vii Monday, March 8, 2004 10:06 AM Contents vii Closed-Form Solutions of Ordinary Differential Equations 246 L ...

Frontmatter Page viii Monday, March 8, 2004 10:06 AM viii Contents CHAPTER 12 Financial Econometrics: Model Selection, Estimatio ...

Frontmatter Page ix Monday, March 8, 2004 10:06 AM Contents ix CHAPTER 14 Arbitrage Pricing: Finite-State Models 393 The Arbitr ...

Frontmatter Page x Monday, March 8, 2004 10:06 AM x Contents CHAPTER 16 Portfolio Selection Using Mean-Variance Analysis 471 Di ...

Frontmatter Page xi Monday, March 8, 2004 10:06 AM Contents xi Dynamic Market Models of Returns 537 Estimation of State-Space M ...

Frontmatter Page xii Monday, March 8, 2004 10:06 AM xii Contents The Discount Function 606 Forward Rates 607 Swap Curve 608 C ...

Frontmatter Page xiii Monday, March 8, 2004 10:06 AM Contents xiii The Poisson Process 697 The Jarrow-Turnbull Model 698 Trans ...

Frontmatter Page xiv Monday, March 8, 2004 10:06 AM Preface Since the pioneering work of Harry Markowitz in the 1950s, sophisti- ...

Frontmatter Page xv Monday, March 8, 2004 10:06 AM Preface xv Special emphasis has been put on describing concepts and mathe- ma ...

Frontmatter Page xvi Monday, March 8, 2004 10:06 AM Acknowledgments We are grateful to Professor Ren-Raw Chen of Rutgers Univers ...

Frontmatter Page xvii Monday, March 8, 2004 10:06 AM Acknowledgments xvii ■ Dr. Lev Dynkin and members of the Fixed Income Resea ...

Frontmatter Page xviii Monday, March 8, 2004 10:06 AM About the Authors Sergio Focardi is a founding partner of the Paris-based ...

Frontmatter Page xix Monday, March 8, 2004 10:06 AM Commonly Used Symbols A(L) polynomial in the lag operator L β k-vector [β 1 ...