Frank J. Fabozzi
Encyclopedia
Frank J. Fabozzi is Professor of Finance at EDHEC Business School, one of Europe’s leading business schools, 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.
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 product
s. He is a co-developer of the Kalotay–Williams–Fabozzi model of the short rate, used in the valuation of interest rate derivative
s.
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, Econometrics and Mathematical Finance
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 fund
s. 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 Chartered Financial Analyst
and a Certified Public Accountant
.
Yale School of Management
The Yale School of Management is the graduate business school of Yale University and is located on Hillhouse Avenue in New Haven, Connecticut, United States. The School offers Master of Business Administration and Ph.D. degree programs. As of January 2011, 454 students were enrolled in its MBA...
. He is well known as the author of numerous books on finance
Finance
"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...
, both practitioner-focused and academic.
Biography
Professor Fabozzi has authored and edited multiple books and research papers on topics in investment managementInvestment management
Investment management is the professional management of various securities and assets in order to meet specified investment goals for the benefit of the investors...
and financial econometrics
Econometrics
Econometrics has been defined as "the application of mathematics and statistical methods to economic data" and described as the branch of economics "that aims to give empirical content to economic relations." More precisely, it is "the quantitative analysis of actual economic phenomena based on...
. Much of his earlier writing focused on fixed income securities
Fixed income
Fixed income refers to any type of investment that is not equity, which obligates the borrower/issuer to make payments on a fixed schedule, even if the number of the payments may be variable....
and portfolio management
Investment management
Investment management is the professional management of various securities and assets in order to meet specified investment goals for the benefit of the investors...
with emphasis on mortgage-
Mortgage-backed security
A mortgage-backed security is an asset-backed security that represents a claim on the cash flows from mortgage loans through a process known as securitization.-Securitization:...
and asset-backed securities
Asset-backed security
An asset-backed security is a security whose value and income payments are derived from and collateralized by a specified pool of underlying assets. The pool of assets is typically a group of small and illiquid assets that are unable to be sold individually...
and structured product
Structured product
In finance, a structured product, also known as a market linked investment, is generally a pre-packaged investment strategy based on derivatives, such as a single security, a basket of securities, options, indices, commodities, debt issuance and/or foreign currencies, and to a lesser extent, swaps...
s. He is a co-developer of the Kalotay–Williams–Fabozzi model of the short rate, used in the valuation of interest rate derivative
Interest rate derivative
An interest rate derivative is a derivative where the underlying asset is the right to pay or receive a notional amount of money at a given interest rate...
s.
He is on the Advisory Council for the Department of Operations Research
Operations research
Operations research is an interdisciplinary mathematical science that focuses on the effective use of technology by organizations...
and Financial Engineering
Computational finance
Computational finance, also called financial engineering, is a cross-disciplinary field which relies on computational intelligence, mathematical finance, numerical methods and computer simulations to make trading, hedging and investment decisions, as well as facilitating the risk management of...
at Princeton University
Princeton University
Princeton University is a private research university located in Princeton, New Jersey, United States. The school is one of the eight universities of the Ivy League, and is one of the nine Colonial Colleges founded before the American Revolution....
and an affiliated professor at the Institute of Statistics, Econometrics and Mathematical Finance
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
at the University of Karlsruhe (Germany
Germany
Germany , officially the Federal Republic of Germany , is a federal parliamentary republic in Europe. The country consists of 16 states while the capital and largest city is Berlin. Germany covers an area of 357,021 km2 and has a largely temperate seasonal climate...
). He has been the editor of the Journal of Portfolio Management
Journal of Portfolio Management
The Journal of Portfolio Management is a quarterly academic journal covering asset allocation, performance measurement, market trends, risk management, and portfolio optimization. The journal was established in 1974 by Peter L. Bernstein. The current editor-in-chief is Frank J...
since 1986 and is on the board of directors
Board of directors
A board of directors is a body of elected or appointed members who jointly oversee the activities of a company or organization. Other names include board of governors, board of managers, board of regents, board of trustees, and board of visitors...
of the BlackRock
BlackRock
BlackRock, Inc. is an American multinational investment management corporation and the world's largest asset manager. BlackRock is headquartered in Manhattan, New York City, New York, United States and is the leading provider of investment, advisory, and risk management solutions...
complex of closed-end fund
Closed-end fund
A closed-end fund is a collective investment scheme with a limited number of shares. It is called a closed-end fund because new shares are rarely issued once the fund has launched, and because shares are not normally redeemable for cash or securities until the fund liquidates.Typically an...
s. Prior to joining the Yale
Yale University
Yale University is a private, Ivy League university located in New Haven, Connecticut, United States. Founded in 1701 in the Colony of Connecticut, the university is the third-oldest institution of higher education in the United States...
faculty in 1994, he was a Visiting Professor
Professor
A professor is a scholarly teacher; the precise meaning of the term varies by country. Literally, professor derives from Latin as a "person who professes" being usually an expert in arts or sciences; a teacher of high rank...
of Finance at the MIT Sloan School of Management
MIT Sloan School of Management
The MIT Sloan School of Management is the business school of the Massachusetts Institute of Technology, in Cambridge, Massachusetts....
.
He is the recipient of various awards. He was elected into the Phi Beta Kappa Society
Phi Beta Kappa Society
The Phi Beta Kappa Society is an academic honor society. Its mission is to "celebrate and advocate excellence in the liberal arts and sciences"; and induct "the most outstanding students of arts and sciences at America’s leading colleges and universities." Founded at The College of William and...
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
CFA Institute
CFA Institute is headquartered in the United States of America at Charlottesville, Virginia, with offices in Hong Kong and London. Formerly known as the Association for Investment Management and Research , CFA Institute awards the Chartered Financial Analyst designation...
. He is the 2004 recipient of an Honorary Doctorate
Honorary degree
An honorary degree or a degree honoris causa is an academic degree for which a university has waived the usual requirements, such as matriculation, residence, study, and the passing of examinations...
of Humane Letters from Nova Southeastern University
Nova Southeastern University
Nova Southeastern University, commonly referred to as NSU or Nova, is a private, coeducational, nonsectarian, research university located in Broward County, Florida, with its main campus in the town of Davie...
.
He earned a doctorate in economics from the City University of New York
City University of New York
The City University of New York is the public university system of New York City, with its administrative offices in Yorkville in Manhattan. It is the largest urban university in the United States, consisting of 23 institutions: 11 senior colleges, six community colleges, the William E...
in 1972 and a BA (magna cum laude
Latin honors
Latin honors are Latin phrases used to indicate the level of academic distinction with which an academic degree was earned. This system is primarily used in the United States, Canada, and in many countries of continental Europe, though some institutions also use the English translation of these...
) and an MA in economics
Master of Economics
A Master's Degree in Economics is a postgraduate academic program, offering training in economic theory, econometrics and / or applied economics. The degree may be offered as a terminal degree or as additional preparation for doctoral study, and is sometimes offered as a professional degree...
from the City College of New York
City College of New York
The City College of the City University of New York is a senior college of the City University of New York , in New York City. It is also the oldest of the City University's twenty-three institutions of higher learning...
, both in 1970. He is a Chartered Financial Analyst
Chartered Financial Analyst
The Chartered Financial Analyst Program is a graduate level self-study program offered by the CFA Institute to investment and financial professionals...
and a Certified Public Accountant
Certified Public Accountant
Certified Public Accountant is the statutory title of qualified accountants in the United States who have passed the Uniform Certified Public Accountant Examination and have met additional state education and experience requirements for certification as a CPA...
.
Selected bibliography
- Fabozzi, Frank J.; Franco ModiglianiFranco ModiglianiFranco Modigliani was an Italian economist at the MIT Sloan School of Management and MIT Department of Economics, and winner of the Nobel Memorial Prize in Economics in 1985.-Life and career:...
(2009). Capital Markets: Institutions and Instruments: 4th edition. Upper Saddle River, NJ: Prentice HallPrentice HallPrentice Hall is a major educational publisher. It is an imprint of Pearson Education, Inc., based in Upper Saddle River, New Jersey, USA. Prentice Hall publishes print and digital content for the 6-12 and higher-education market. Prentice Hall distributes its technical titles through the Safari...
. - 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 & SonsJohn Wiley & SonsJohn Wiley & Sons, Inc., also referred to as Wiley, is a global publishing company that specializes in academic publishing and markets its products to professionals and consumers, students and instructors in higher education, and researchers and practitioners in scientific, technical, medical, and...
. - 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 HillMcGraw-HillThe McGraw-Hill Companies, Inc., is a publicly traded corporation headquartered in Rockefeller Center in New York City. Its primary areas of business are financial, education, publishing, broadcasting, and business services...
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 DavisHenry DavisHenry Davis may refer to:*Henry Davis *Henry Davis , an American Broadway singer and actor*Henry G. Davis , a U.S...
; Moorad ChoudhryMoorad ChoudhryMoorad Choudhry is Managing Director, Head of Business Treasury, Global Banking & Markets at Royal Bank of Scotland plc. Before joining RBS, He was Head of Treasury at Europe Arab Bank, a subsidiary of Arab Bank. He joined there from KBC Financial Products in London, the derivatives and convertible...
(2006). Introduction to Structured Finance. Hoboken, NJ: John Wiley & Sons. - Fabozzi, Frank J.; Harry M. MarkowitzHarry MarkowitzHarry Max Markowitz is an American economist and a recipient of the John von Neumann Theory Prize and the Nobel Memorial Prize in Economic Sciences....
, Editors (2002). The Theory and Practice of Investment Management. Hoboken, NJ: Wiley.
External links
- Frank J. Fabozzi at Edhec Business School
- Frank J. Fabozzi at Yale (archivedInternet ArchiveThe Internet Archive is a non-profit digital library with the stated mission of "universal access to all knowledge". It offers permanent storage and access to collections of digitized materials, including websites, music, moving images, and nearly 3 million public domain books. The Internet Archive...
) - Frank J. Fabozzi Associates
- The Frank J. Fabozzi Series at Wiley.com