Research Foundation Books 01 Apr 2006 Volume 2006 Issue 2
Trends in Quantitative Finance
Trends in Quantitative FinanceView the full book (PDF)
This introduction to recent developments in modeling equity returns provides a plain-English, formula-free review of quantitative methods—in particular, the trade-offs that must be made among model complexity, risk, and performance. The monograph also includes the results of a 2005 survey of the modeling practiced at 21 large asset management firms.
About the Author(s)
Sergio Focardi is a professor at EDHEC Business School and a founding partner of The Intertek Group. He is on the editorial board of the Journal of Portfolio Management and has co-authored numerous articles and books, including the Research Foundation of CFA Institute monograph Trends in Quantitative Finance and the award-winning books Financial Modeling of the Equity Market: CAPM to Cointegration and The Mathematics of Financial Modeling and Investment Management. Dr. Focardi is also co-author of Financial Econometrics: From Basics to Advanced Modeling Techniques and Robust Portfolio Optimization and Management. He holds a degree in electronic engineering from the University of Genoa and a PhD in mathematical finance from the University of Karlsruhe.