Investment theory and risk management (Q2892695)

The aim of the book is to supply financial managers with rigorous but clear mathematical and computing tools. The author introduces the problems in financial economics and then tries to develop the intuition behinds the theory. All through the book, the emphasis is on practical applications. To that end, most chapters have a companion set of spreadsheets that contain the data and applications. All data, tables and figures used in text also appear in the chapter spreadsheets. The book consists of 22 chapters. Mention only some of them that are devoted to discount rates and returns, fixed income securities, term structure, equities, portfolio construction, optimal portfolios, anomalies, factor models, measures of risk, Monte Carlo methods, options, swaps, futures and forwards, structured credit and optimal rebalancing. The coverage in the book is broader than in standard texts devoted to financial mathematics. For example, an early chapter is included that devoted to equity pricing models and how pricing is approached by practitioners along with some caveats associated with these models. Also, optimization and statistical concepts are developed more rigorously than what is usually found in investment textbooks. The book is targeted to graduate students in finance and economics as well as experienced portfolio managers.