VOLUME II
The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals ranging from finance professionals to academics and students understand the various models currently available and apply them in real–world situations.
Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Incorporating timely research and in–depth analysis, Volume II of the Encyclopedia of Financial Models covers:
- Equity Models and Valuation
- Factor Models for Portfolio Construction
- Financial Econometrics
- Financial Modeling Principles
- Financial Statement Analysis
- Finite Mathematics for Financial Modeling
- Model Risk and Selection
Table of Contents
Volume IIEquity Models and Valuation 1
Dividend Discount Models 3
Discounted Cash Flow Methods for Equity Valuation 15
Relative Valuation Methods for Equity Analysis 33
Equity Analysis in a Complex Market 47
Equity Portfolio Selection Models in Practice 61
Basics of Quantitative Equity Investing 89
Quantitative Equity Portfolio Management 107
Forecasting Stock Returns 121
Factor Models for Portfolio Construction 135
Factor Models 137
Principal Components Analysis and Factor Analysis 153
Multifactor Equity Risk Models and Their Applications 171
Factor–Based Equity Portfolio Construction and Analysis 195
Cross–Sectional Factor–Based Models and Trading Strategies 213
The Fundamentals of Fundamental Factor Models 243
Multifactor Equity Risk Models and Their Applications 255
Multifactor Fixed Income Risk Models and Their Applications 267
Financial Econometrics 293
Scope and Methods of Financial Econometrics 295
Regression Analysis: Theory and Estimation 305
Categorical and Dummy Variables in Regression Models 333
Quantile Regression 353
ARCH/GARCH Models in Applied Financial Econometrics 359
Classification and Regression Trees and Their Use in Financial Modeling 375
Applying Cointegration to Problems in Finance 383
Nonlinearity and Nonlinear Econometric Models in Finance 401
Robust Estimates of Betas and Correlations 437
Working with High–Frequency Data 449
FinancialModeling Principles 465
Milestones in Financial Modeling 467
From Art to Financial Modeling 479
Basic Data Description for Financial Modeling and Analysis 485
Time Series Concepts, Representations, and Models 501
Extracting Risk–Neutral Density Information from Options Market Prices 521
Financial Statement Analysis 529
Financial Statements 531
Financial Ratio Analysis 545
Cash–Flow Analysis 565
Finite Mathematics for Financial Modeling 579
Important Functions and Their Features 581
Time Value of Money 595
Fundamentals of Matrix Algebra 621
Difference Equations 629
Differential Equations 643
Partial Differential Equations in Finance 659
Model Risk and Selection 689
Model Risk 691
Model Selection and Its Pitfalls 699
Managing the Model Risk with the Methods
of the Probabilistic Decision Theory 719
Fat–Tailed Models for Risk Estimation 731
