With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications.

It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management—including credit risk management—and portfolio management.

• Includes an overview of the essential math and statistical skills required to succeed in quantitative finance
• Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables
• The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more
• Written by Sergio Focardi, one of the world's leading authors in high-level finance

Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of finance.

SERGIO M. FOCARDI, PhD, is a Visiting Professor in the College of Business at the State University of New York at Stony Brook and founding partner of the Paris-based consulting firm The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. Focardi has authored numerous articles and books on financial modeling and risk management and three monographs for the Research Foundation of the CFA Institute.

FRANK J. FABOZZI, PhD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at Yale University's School of Management from 1994 to 2011 and was a visiting professor of finance and accounting at MIT's Sloan School of Management from 1986 to 1992. He is also Editor of the Journal of Portfolio Management.

TURAN G. BALI, PhD, is the Robert S. Parker Chair Professor of Business Administration at the McDonough School of Business at Georgetown University. Before joining Georgetown, Professor Bali was the David Krell Chair Professor of Finance at Baruch College and the Graduate School and University Center of the City University of New York. He also held visiting faculty positions at New York University and Princeton University. Professor Bali has published more than fifty articles in economics and finance journals. He is currently an associate editor of the Journal of Banking and Finance, Journal of Futures Markets, Journal of Portfolio Management, and Journal of Risk.

Preface

Chapter 1 Basic Concepts: Sets, Distances, Functions, and Variables

Chapter 2 Differential Calculus

Chapter 3 Integral Calculus

Chapter 4 Matrix Algebra

Chapter 5 Probability Basic Concepts

Chapter 6 Probability: Random Variables and Expectations

Chapter 7 Optimization 

Chapter 8 Difference Equations

Chapter 9 Differential Equations

Chapter 10 Stochastic Integrals

Chapter 11 Stochastic Differential Equations

Index