Encyclopedia of financial models. Vol. 1

Contributors xi    Preface xvii     Guide to the Encyclopedia of Financial Models xxxiii     Index 569     Volume I     Asset Allocation 1     Mean-Variance Model for Portfolio Selection 3     Principles of Optimization for Portfolio Selection 21     Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio 35     Asset Pricing Models 47     General Principles of Asset Pricing 49     Capital Asset Pricing Models 65     Modeling Asset Price Dynamics 79     Arbitrage Pricing: Finite-State Models 99     Arbitrage Pricing: Continuous-State, Continuous-Time Models 121     Bayesian Analysis and Financial Modeling Applications 137     Basic Principles of Bayesian Analysis 139     Introduction to Bayesian Inference 151     Bayesian Linear Regression Model 163     Bayesian Estimation of ARCH-Type Volatility Models 175     Bayesian Techniques and the Black-Litterman Model 189     Bond Valuation 207     Basics of Bond Valuation 209     Relative Value Analysis of Fixed-Income Products 225     Yield Curves and Valuation Lattices 235     Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors 243     Understanding the Building Blocks for OAS Models 257     Quantitative Models to Value Convertible Bonds 271     Quantitative Approaches to Inflation-Indexed Bonds 277     Credit Risk Modeling 297     An Introduction to Credit Risk Models 299     Default Correlation in Intensity Models for Credit Risk Modeling 313     Structural Models in Credit Risk Modeling 341     Modeling Portfolio Credit Risk 361     Simulating the Credit Loss Distribution 377     Managing Credit Spread Risk Using Duration Times Spread (DTS) 391     Credit Spread Decomposition 401     Credit Derivatives and Hedging Credit Risk 407     Derivatives Valuation 421     No-Arbitrage Price Relations for Forwards, Futures, and Swaps 423     No-Arbitrage Price Relations for Options 437     Introduction to Contingent Claims Analysis 457     Black-Scholes Option Pricing Model 465     Pricing of Futures/Forwards and Options 477     Pricing Options on Interest Rate Instruments 489     Basics of Currency Option Pricing Models 507     Credit Default Swap Valuation 525     Valuation of Fixed Income Total Return Swaps 541     Pricing of Variance, Volatility, Covariance, and Correlation Swaps 545     Modeling, Pricing, and Risk Management of Assets and Derivatives in Energy and Shipping 555