Frank J. Fabozzi

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Frank J. Fabozzi is Professor of Finance at EDHEC Business School and a Member of Edhec Risk Institute. He was previously a Professor in the Practice of Finance and Becton Fellow in the Yale School of Management. He is well known as the author of numerous books on finance, both practitioner-focused and academic.

Biography[edit]

Professor Fabozzi has authored and edited multiple books [1] and research papers [2] on topics in investment management and financial econometrics. Much of his earlier writing focused on fixed income securities and portfolio management with emphasis on mortgage- and asset-backed securities and structured products. He is a co-developer of the Kalotay–Williams–Fabozzi model [3] of the short rate, used in the valuation of interest rate derivatives.

He is on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University and an affiliated professor at the Institute of Statistics and Economics at the University of Karlsruhe (Germany). He has been the editor of the Journal of Portfolio Management since 1986 and is on the board of directors of the BlackRock complex of closed-end funds. Prior to joining the Yale faculty in 1994, he was a Visiting Professor of Finance at the MIT Sloan School of Management.

He is the recipient of various awards. He was elected into the Phi Beta Kappa Society in 1969. In 2002, he was inducted into the Fixed Income Analysts Society's Hall of Fame and is the 2007 recipient of the C. Stewart Sheppard Award given by The CFA Institute. He is the 2004 recipient of an Honorary Doctorate of Humane Letters from Nova Southeastern University.

He earned a doctorate in economics from the City University of New York in 1972 and a BA (magna cum laude) and an MA in economics from the City College of New York, both in 1970. He is a Certified Public Accountant and holds the Chartered Financial Analyst designation.

Selected bibliography[edit]

  • Fabozzi, Frank J.; Franco Modigliani (2009). Capital Markets: Institutions and Instruments: 4th edition. Upper Saddle River, NJ: Prentice Hall.
  • Fabozzi, Frank J.; Franco Modigliani; Frank J. Jones (2009). Foundations of Financial Markets and Institutions: 4th edition. Upper Saddle River, NJ: Prentice Hall.
  • Fabozzi, Frank J. (2009). Bond Markets, Analysis and Strategies: 7th edition. Upper Saddle River, NJ: Prentice Hall.
  • Rachev, Svetlozar T; John S.J. Hsu; Biliana Bagasheva; Frank J. Fabozzi (2008). Bayesian Methods in Finance. Hoboken, NJ: John Wiley & Sons.
  • Fabozzi, Frank J.; Vinod Kothari (2008). Introduction to Securitization. Hoboken, NJ: John Wiley & Sons.
  • Rachev, Svetlozar T.; Stefan Mittnik; Frank J. Fabozzi; Sergio M. Focardi; Teo Jasic (2007). Financial Econometrics: From Basics to Advanced Modeling Techniques. Hoboken, NJ: John Wiley & Sons.
  • Fabozzi, Frank J.; Petter N. Kolm; Dessislava Pachamanova; Sergio M. Focardi (2007). Robust Portfolio Optimization and Management. Hoboken, NJ: John Wiley & Sons.
  • Fabozzi, Frank J. (2006). Fixed Income Mathematics: Analytical and Statistical Techniques: 4th edition. New York: NY: McGraw Hill Publishing.
  • Fabozzi, Frank J.; Sergio M. Focardi; Petter N. Kolm (2006). Financial Modeling of the Equity Market: From CAPM to Cointegration. Hoboken, NJ: John Wiley & Sons.
  • Fabozzi, Frank J.; Henry Davis[disambiguation needed]; Moorad Choudhry (2006). Introduction to Structured Finance. Hoboken, NJ: John Wiley & Sons.
  • Fabozzi, Frank J.; Harry M. Markowitz, Editors (2002). The Theory and Practice of Investment Management. Hoboken, NJ: Wiley.
  • Fabozzi, Frank J.; Leibowitz, Martin L., Editors (2007). Fixed Income Analysis. John Wiley & Sons.

References[edit]

  1. ^ frankfabozzi.com/Authored_books
  2. ^ SSRN page
  3. ^ Kalotay, Andrew J.; Williams, George O.; Fabozzi, Frank J. (1993). "A Model for Valuing Bonds and Embedded Options". Financial Analysts Journal (CFA Institute Publications) 49 (3): 35–46. doi:10.2469/faj.v49.n3.35. 

External links[edit]