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LEADER 00000cam a2200841 i 4500
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082 04 332.01/51|223
099 eBook O'Reilly for Public Libraries
100 1 Davison, Matt.
245 10 Quantitative finance :|ba simulation-based introduction
using Excel /|cMatt Davison, University of Western
Ontario.|h[O'Reilly electronic resource]
264 1 Boca Raton :|bChapman and Hall/CRC,|c[2014]
264 4 |c©2014
300 1 online resource
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
490 0 A Chapman & Hall Book
504 Includes bibliographical references and index.
505 0 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.
520 "Teach Your Students How to Become Successful Working
QuantsQuantitative 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"--|cProvided by publisher
520 "Preface It is necessary to thank many people at the end
of a big project like writing a book. First, my thanks go
to my patient editor Sunil Nair and his editorial
assistants Rachel Holt and Sarah Gelson. Two anonymous
reviewers made very thorough and useful comments on an
earlier manuscript. Tao Luo and Sharon Wang typed and made
figures for many versions of this book. Tao's valuable
comments, mastery of visual basic, and untiring commitment
were a particular help in both of the final pushes to
completing this project. I have benefitted from teaching
this material to many students over many years, beginning
with many insightful master's and PhD students. Classroom
versions of this content has been taught to the actuarial
science, financial modeling, and applied mathematics
students of AM3613b, AM9578b, AS9022a, SS4521 g, SS9521b,
and SS3520b at Western University, to the HBA students of
Bus4486 and MBA students of Bus9443 at the Richard Ivey
School of Business, and to students at a course on
interest rate models given at the Bank of Canada. Greg
Sullivan and Kirk Cooper, then at Deutsche Bank Canada,
were my first teachers in trading floor quant finance.
Chris Essex, Henning Rasmussen, and Mark Reesor at Western,
Adam Metzler at Wilfrid Laurier, Matt Thompson at Queens,
Lindsay Anderson at Cornell, and Alejandro Garcia at the
Office of the Superintendent of Financial Institutions,
have all helped shape my thinking. Of course, any errors
or omissions in this book are mine alone. The final thanks
go to my wife Christine and my sons Liam and Shawn,
without whom none of this would be worth doing"--
|cProvided by publisher
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
630 00 Microsoft Excel (Computer file)
630 07 Microsoft Excel (Computer file)|2fast
650 0 Finance|xMathematical models.
650 0 Finance|xSimulation methods.
650 6 Finances|xModèles mathématiques.
650 6 Finances|xMéthodes de simulation.
650 7 Finance|xMathematical models|2fast
650 7 Black-Scholes-Modell|2gnd
650 7 Finanzmathematik|2gnd
650 7 Kapitalmarkttheorie|2gnd
650 7 Mathematische Modellierung|2gnd
650 7 Portfoliomanagement|2gnd
650 7 Finanzmathematik.|0(DE-601)091359953|0(DE-STW)12207-4|2stw
650 7 Portfolio-Management.|0(DE-601)091383722|0(DE-STW)12212-4
|2stw
650 7 Kapitalmarkttheorie.|0(DE-601)091370094|0(DE-STW)12210-1
|2stw
650 7 Optionspreistheorie.|0(DE-601)091381703|0(DE-STW)10210-4
|2stw
650 7 Black-Scholes-Modell.|0(DE-601)091352274|0(DE-STW)19280-1
|2stw
650 7 Theorie.|0(DE-601)091394902|0(DE-STW)19073-6|2stw
776 08 |iPrint version:|aDavison, Matt.|tQuantitative finance : a
simulation-based introduction using Excel.|dBoca Raton,
Florida ; London, [England] ; New York : CRC Press, ©2014
|hxix, 499 pages|kChapman & Hall book.|z9781439871683
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
learning.oreilly.com/library/view/~/9781439871683/?ar
|zAvailable on O'Reilly for Public Libraries
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