Frank J. Fabozzi, PhD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at theYale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and is on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. He earned a doctorate in economics from the City University of New York.
Chapter 1: Introduction.
PART ONE: Fundamental Concepts.
Chapter 2: Important Finance Concepts.
Chapter 3: Random Variables, Probability Distributions, and Important Statistical Concepts.
Chapter 4: Simulation Modeling and Software.
Chapter 5: Optimization Modeling.
Chapter 6: Optimization under Uncertainty.
PART TWO: Portfolio Optimization and Risk Measures.
Chapter 7: Asset Diversification and Efficient Frontiers.
Chapter 8: Advances in the Theory of Risk Measures.
Chapter 9: Equity Portfolio Management in Practice.
Chapter 10: Fixed Income Portfolio Management in Practice.
PART THREE: Asset Pricing Models.
Chapter 11: Regression and Factor Models.
Chapter 12: Modeling Asset Price Dynamics.
PART FOUR: Derivative Pricing and Use.
Chapter 13: Introduction to Derivatives.
Chapter 14: Pricing Derivatives by Simulation.
Chapter 15: Structuring and Pricing Residential Mortgage-Backed Securities.
Chapter 16: Using Derivatives in Portfolio Management.
PART FIVE: Capital Budgeting Decisions.
Chapter 17: Capital budgeting under uncertainty.
Chapter 18: Real options.