Description
Book SynopsisVolume 2 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets.
Table of ContentsVolume II Equity 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
