Quantitative Finance: A Simulation-Based Introduction Using Excel

ISBN-13: 9781439871683 / Angielski / Twarda / 2014 / 532 str.

Matt Davison

Opis

Teach Your Students How to Become Successful Working Quants Quantitative Finance: A Simulation-Based Introduction Using Excel provides an introduction to financial mathematics for students in applied mathematics, financial engineering, actuarial science, and business administration. The text not only enables students to practice with the basic techniques of financial mathematics, but it also helps them gain significant intuition about what the techniques mean, how they work, and what happens when they stop working. After introducing risk, return, decision making under uncertainty, and traditional discounted cash flow project analysis, the book covers mortgages, bonds, and annuities using a blend of Excel simulation and difference equation or algebraic formalism. It then looks at how interest rate markets work and how to model bond prices before addressing mean variance portfolio optimization, the capital asset pricing model, options, and value at risk (VaR). The author next focuses on binomial model tools for pricing options and the analysis of discrete random walks. He also introduces stochastic calculus in a nonrigorous way and explains how to simulate geometric Brownian motion. The text proceeds to thoroughly discuss options pricing, mostly in continuous time. It concludes with chapters on stochastic models of the yield curve and incomplete markets using simple discrete models. Accessible to students with a relatively modest level of mathematical background, this book will guide your students in becoming successful quants. It uses both hand calculations and Excel spreadsheets to analyze plenty of examples from simple bond portfolios. The spreadsheets are available on the book s CRC Press web page."

Spis treści

Introduction. Intuition about Uncertainty and Risk. The Classical Approach to Decision Making under Uncertainty. Valuing Investment Opportunities: The Discounted Cash Flow Method. Repaying Loans over Time. Bond Pricing with Default: Using Simulations. Bond Pricing with Default: Using Difference Equations. Difference Equations for Life Annuities. Tranching and Collateralized Debt Obligations. Bond CDOs: More Than Two Bonds, Correlation, and Simulation. Fundamentals of Fixed Income Markets. Yield Curves and Bond Risk Measures. Forward Rates. Modeling Stock Prices. Mean Variance Portfolio Optimization. A Qualitative Introduction to Options. Value at Risk. Pricing Options Using Binomial Trees. Random Walks. Basic Stochastic Calculus. Simulating Geometric Brownian Motion. Black Scholes PDE for Pricing Options in Continuous Time. Solving the Black Scholes PDE. Pricing Put Options Using Put Call Parity. Some Approximate Values of the Black Scholes Call Formula. Simulating Delta Hedging. Black Scholes with Dividends. American Options. Pricing the Perpetual American Put and Call. Options on Multiple Underlying Assets. Interest Rate Models. Incomplete Markets. Appendices. Index.

O autorze

Matt Davison is an associate dean (administration) in the Faculty of Science and a professor of statistical and actuarial sciences at the University of Western Ontario. Dr. Davison holds the Canada Research Chair in Quantitative Finance.