Frontmatter Page xvi Monday, March 8, 2004 10:06 AM
Acknowledgments
We are grateful to Professor Ren-Raw Chen of Rutgers University for coau-
thoring Chapter 22 (“Credit Risk Modeling and Credit Default Swaps”).
The application of mean-variance analysis to asset allocation in
Chapter 16 is from the coauthored work of Frank Fabozzi with Harry
Markowitz and Francis Gupta. The discussion of tracking error and risk
decomposition in Chapter 18 draws from the coauthored work of Frank
Fabozzi with Frank Jones and Raman Vardharaj.
In writing a book that covers a wide range of technical topics in
mathematics and finance, we were fortunate enough to receive assistance
from the following individuals:■ Caroline Jonas of The Intertek Group read and commented on most
chapters in the book.
■ Dr. Petter Kolm of Goldman Sachs Asset Management reviewed Chap-
ters 4, 6, 7, 9, and 20.
■ Dr. Bernd Hanke of Goldman Sachs Asset Management reviewed
Chapters 14, 15, and 16.
■ Dr. Lisa Goldberg of Barra reviewed Chapter 13.
■ Professor Martijn Cremers of Yale University reviewed the first draft of
the financial econometrics material.
■ Hafize Gaye Erkan, a Post-General Ph.D. Candidate in the Department
of Operations Research and Financial Engineering at Princeton Univer-
sity, reviewed the chapters on stochastic calculus (Chapters 8 and 10).
■ Professor Antti Petajisto of Yale University reviewed Chapter 14.
■ Dr. Christopher Maloney of Citigroup reviewed Chapter 5.
■ Dr. Marco Raberto of the University of Genoa reviewed Chapter 13
and provided helpful support for the preparation of illustrations.
■ Dr. Mehmet Gokcedag of the Istanbul Bilgi University reviewed Chapter
22 and provided helpful comments on the organization and structure of
the book.
■ Professor Silvano Cincotti of the University of Genoa provided insight-
ful comments on a range of topics.xvi