Frank J. Fabozzi CFA

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time.Helps to answer the question: which risk measure is best for a given problem?Finds new relations between existing classes of risk measuresDescribes applications in fina...

A comprehensive look at how probability and statistics is applied to the investment...

A comprehensive introduction to the key concepts of fixed income analyticsThe First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathar...

An introduction to the theory and practice of financial simulation and optimizationIn recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty.This accessible guide provi...