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The Intertek Group |
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Articles & Books |
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Books & Monographs Robust Portfolio
Optimization and Management, F.J. Fabozzi, P.N. Kolm, D.A. Pachamanova, and
S.M. Focardi (Wiley, 2007). Financial
Econometrics – From Basics to Advanced Modeling Techniques, S.T. Rachev, S.
Mittnik, F.J. Fabozzi, S.M. Focardi, and T. Jasic (Wiley, 2007). Trends in Quantitative Finance, F.J. Fabozzi, S.M. Focardi, and P.N. Kolm, (CFA
Institute monograph, 2006).
Review Financial
Modeling of the Equity Market: From CAPM to Cointegration, F.J. Fabozzi,
S.M. Focardi, and P.N. Kolm (Wiley, 2006).
Review The Mathematics
of Financial Modeling and Asset Management, S.M. Focardi and F.J.
Fabozzi (Wiley, 2004).
Review Modeling
the Market: New Theories and Techniques, S. Focardi and C. Jonas
(Frank J. Fabozzi Associates, 1997).
Book Reviews - Financial Modeling of the Equity
Market: From CAPM to Cointegration In naming the
book one of the Top 10 new books in financial engineering and risk management
for 2006: “The book provides an excellent
overview of the models and processes used for measuring equity risk. [It]
starts with a review of Markowicz’s 1952 paper on portfolio selection,
before covering modern advances that have extended Modern Portfolio Theory.
Later chapters move into equity price and index modeling, to modeling
techniques for solving resultant equation. This book represents an excellent
summary of the methods in place within equity modeling, and anybody wishing
to understand this market could do much worse than start with this text.” Richard Norgate, Financial
Engineering News, September/October 2006 "The strength of this text is in the ability of
the writers (all highly qualified financial experts with impeccable
mathematical and economic backgrounds) to convey complicated and layered data
in a clear-minded format. …. [T]he authors do a laudable job in
capturing their subject, with inclusion of the most up-to-date information as
related to equity portfolio models and single return analysis. [They] have
gone to great lengths to ‘personalize’ this information,...
augmenting their treatise with real-business-world examples/scenarios that
serve to re-enforce key points and premises within the process.... In short,
this book will serve the professional office and the cold glare of the
university classroom with equal precision."
This remarkable work has the highest importance for investors. I was
most impressed with the authors' skill in dealing with complex matters in
such a lucid manner. We can all be grateful to Fabozzi, Focardi, and Kolm for
their contribution to our understanding of quantitative finance." Peter L. Bernstein and Consulting
Editor of The Journal of Portfolio Management.
Book Reviews - The Mathematics of Financial Modeling and Asset
Management In naming the book one of the
Top 3 new books in financial engineering and risk management for 2005: “I strongly recommend this [book].... The early chapters ...
provide an introduction to financial markets and a summary of the milestones
in financial modeling. The main part of this book is then a series of
chapters covering the core mathematical areas useful to financial
engineering, covering the basics of calculus, linear algebra and probability
theory before moving on to stochastic differential equations, fat tails,
continuous time models and everything else in between. If I’d had this
book available a few years ago, it would have helped me start a career in
financial engineering.” Richard Norgate, Financial
Engineering News, 6 September 2005 Selected Articles “The Reasonable Effectiveness of Mathematics in Economics” Sergio Focardi and Frank J. Fabozzi, Spring 2009 The American Economist. “Considerations on the Challenges in Quantitative Equity Management”, Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas, Quantitative Finance, Volume 8, Issue 7, 2008, Pages 649 – 665. “Black Swans and White Eagles: On Mathematics and Finance,” Sergio Focardi and Frank J. Fabozzi, Mathematical Methods in Operations Research, published online 5 September 2008. “Robust Portfolio Optimization,” Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova, and Sergio M. Focardi, Journal of Portfolio Management (Spring 2007), pp. 40-48. “Trends in Quantitative Equity Management: Survey Results,” Frank J. Fabozzi, Sergio M. Focardi, and Caroline Jonas, Quantitative Finance Volume 7, No. 2 (April 2007), pp. 115-122. “How Do Conflicting Theories About Financial Markets Coexist?” Wesley Phoa, Sergio Focardi, Frank J. Fabozzi, Journal of Post Keynesian Economics, Vol.29, No. 4 (Summer 2007), pp. 699-701. “Incorporating Trading Strategies in the Black-Litterman Framework,” Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, Journal of Trading (Spring 2006), pp. 28-37. “A Simple Framework for Time Diversification”, Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, Journal of Investing, (Fall 2006), pp. 8-18. “Implementable Quantitative Research”, Frank J. Fabozzi, Sergio M. Focardi, and K.C. Ma, The Journal of Alternative Investments, Fall 2005.
“A
Methodology for Index Tracking Based on Time-Series Clustering,”
Sergio M. Focardi and Frank J. Fabozzi, Quantitative
Finance Vol 4, 2004.
“Market
Experience with Modeling for Defined-Benefit Pension Funds : Evidence from
Four Countries,” Frank J. Fabozzi, Sergio M. Focardi and Caroline Jonas,
forthcoming in Journal of Pension Economics, vol 4, issue 3, November
2005. “An Autoregressive Conditional Duration Model of Credit-Risk Contagion,” Sergio M. Focardi and Frank J. Fabozzi, The Journal of Risk Finance, Vol 6, No. 3, 2005. “New Kids on the Block: Trends in Quantitative Finance and Their Impact on Investment Management,” Sergio M. Focardi, Petter N. Kolm, and Frank J. Fabozzi, Journal of Portfolio Management, Special Anniversary Issue, Fall 2004.
“A Percolation
Approach to Modeling Credit Loss Distribution Under Contagion,” Sergio M.
Focardi and Frank J. Fabozzi, The Journal of Risk, Vol.7, No.1, Fall
2004. “Trends in Quantitative Asset Management in Europe,” Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas, Journal of Portfolio Management, Special European Issue, Summer 2004. “Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena,” Sergio M. Focardi and Frank J. Fabozzi, The Journal of Risk Finance, Vol 5, N 1, Fall 2003.
“Self-organization
and Market Crashes,”
Sergio Focardi, Silvano Cincotti and Michele Marchesi, Journal of
Economic Behavior & Organization, Volume 49/2 pp. 241-267, 2002.
“Agent-based
Simulation of a Financial Market,
”
Marco Raberto, Silvano Cincotti, Sergio Focardi and Michele Marchesi,
Physica A, 2001.
“A
Stochastic Model of Software Maintenance and Its Implications on Extreme
Programming Processes, ”
Sergio Focardi, Michele Marchesi and Giancarlo Succi, Extreme Programming
Examined, ed. G. Succi and M. Marchesi, Addison Wesley, New York, 2001.
“Self-Organization
in Global Stochastic Models of Production and Inventory Dynamics,”
Sergio Focardi and Michele Marchesi, Essays on Heterogeneity in Economics,
ed. D. Delli Gatti, M. Gallegati and A.P. Kirman, Springer-Verlag, Berlin,
1999, updated 2000.
“Business
as Usual and Rare Events: The Odd Couple of Risk Management Coming Together,”
Sergio Focardi, Journal of Portfolio Management, 25th Anniversary
Issue, May 1999.
“A
Seam of Knowledge: The Importance of Data Analysis in Firm-wide Financial
Optimisation,”
Sergio Focardi, Risk Magazine, vol. 10, no. 8, August 1997.
“From
Equilibrium to Non-linear Dynamics in Investment Management,”
Sergio Focardi, Journal of Portfolio Management, Summer 1996.
The Technology of Data Mining,
Karsten Decker and Sergio Focardi (CSCS-Swiss Scientific Computing Centre,
Manno, Switzerland, March 1995). Available at
www.cscs.ch.
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