Quantitative finance : a simulation-based introduction using Excel /

"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 no...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Davison, Matt
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boca Raton : Chapman and Hall/CRC, [2014]
Colección:A Chapman & Hall Book
Temas:
Microsoft Excel (Computer file)
Finance > Mathematical models.
Finance > Simulation methods.
Finances > Modèles mathématiques.
Finances > Méthodes de simulation.
BUSINESS & ECONOMICS > Finance.
MATHEMATICS > General.
MATHEMATICS > Probability & Statistics > General.
Finance > Mathematical models
Black-Scholes-Modell
Finanzmathematik
Kapitalmarkttheorie
Mathematische Modellierung
Portfoliomanagement
Finanzmathematik.
Portfolio-Management.
Kapitalmarkttheorie.
Optionspreistheorie.
Black-Scholes-Modell.
Theorie.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • 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.

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