Quantitative finance : a simulation-based introduction using Excel /: a simulation-based introduction using Excel. ([2014])

• Record Type: Book
• Further Information: Note: Matt Davison, University of Western Ontario.
• Other Names: Davison, Matt
• Contents: Introduction; ; Intuition about Uncertainty and Risk ; Introduction; Individual Attitudes toward Risk; The St. Petersburg Paradox; Looking Forward to Chapter 3; ; The Classical Approach to Decision Making under Uncertainty; Map to the Future; ; Valuing Investment Opportunities: The Discounted Cash Flow Method; Discounted Cash Flow Method for Evaluating Investment Opportunities; Conclusions; ; Repaying Loans Over Time; Introduction; Repaying a Loan over Time: Excel; Repaying a Loan over Time: Mathematics; First-Order Difference Equations; Solving the Loan Repayment Difference Equation; More Examples of Using Difference Equations to Find Loan Payments; Writing the Difference Equation in Forward versus Backward Forms; Bridges to the Future; ; Bond Pricing with Default: Using Simulations; Modeling a Defaultable Bond or Loan; Financial Insights; Simulating Loan Portfolios; What Happens if There Are a Large Number of Independent Loans?; Bridge to the Future; ; Bond Pricing with Default: Using Difference Equations; Risky Bonds; Using Difference Equations to Find C ; Exploring the Insights Arising from Equation 7.5; Determining Recovery Rates; Determining the Probability of Default; A Bridge to the Future; ; Difference Equations for Life Annuities; Introduction; ; Tranching and Collateralized Debt Obligations; Collateralized Debt Obligations; Tranched Portfolios; The Detailed Calculation; Correlation of Two Identical Bonds; Conclusion; ; Bond CDOs: More Than Two Bonds, Correlation, and Simulation; Introduction; Using an Excel Simulation to Analyze CDOs with More Than Two Bonds; Collateralized Debt Obligations: An Example of Financial Engineering; The Binomial Simplification; Correlated Defaults; ; Fundamentals of Fixed Income Markets; What Are Bonds?; Getting Down to Quantitative Details; Simplest Bond Pricing Equation; How Bonds Are Traded in Canada; Clean and Dirty Bond Prices; Conclusion and Bridge to the Next; ; Yield Curves and Bond Risk Measures; Introduction; Constructing Yield Curves from Bond Prices; Bond Price Sensitivities to the Yield; ; Forward Rates; Introduction; Relationships between Forward Rates and the Yield Curve; Yield Curves, Discount Factors, and Forward Rates; Interpreting Forward Curves; ; Modeling Stock Prices; What Are Stocks?; Simple Statistical Analysis of Real Stock Data; ; Mean Variance Portfolio Optimization; Selecting Portfolios; CAPM and Markowitz; ; A Qualitative Introduction to Options; Stock Option Definitions; Uses for Put and Call Options; Qualitative Behavior of Puts and Calls; ; Value at Risk (VaR); Introduction to Value at Risk; Pitfalls of VaR; Summary; ; Pricing Options Using Binomial Trees; Introduction; Binomia l Model; Single-Period Binomial Tree Model for Option Pricing; Extending the Binomial Model to Multiple Time Steps; Multiple-Step Binomial Trees; Summary; ; Random Walks; Introduction; Deriving the Diffusion Partial Differential Equation; ; Basic Stochastic Calculus; Basics of Stochastic Calculus; Stochastic Integration by Examples; Conclusions and Bridge to Next Chapters; ; Simulating Geometric Brownian Motion; Simulating GBM Stock Prices at a Single Future Time; Simulating a Time Sequence of GBM Stock Prices; Summary; ; Black Scholes PDE for Pricing Options in Continuous Time; Introduction; Hedging Argument; Call Price Solution of the Black Scholes Equation; Why Short Selling Is So Dangerous; Summary and Bridge to the Future; ; Solving the Black Scholes PDE; Solving the Black Scholes Partial PDE for a European Call; General European Option Payoffs: Risk-Neutral Pricing; Summary; ; Pricing Put Options Using Put Call Parity; Summary; ; Some Approximate Values of the Black Scholes Call Formula ; Approximate Call Formulas at-the-Money; Approximate Call Values Near-the-Money; Approximate Call Values Far-from-the-Money; ; Simulating Delta Hedging; Introduction; How Does Delta Hedging Really Work?; Understanding the Results of the Delta Hedging Process; The Impact of Transaction Costs; A Hedgers Perspective on Option Gamma or, "Big Gamma" = "Big Money"; Bridge to the Future; ; Black Scholes with Dividends; Modeling Dividends; The Black Scholes PDE for the Continuously Paid Dividend Case; Pricing the Prepaid Forward on a Continuous Dividend Paying Stock; More Complicated Derivatives on Underlying Paying Continuous Dividends; ; American Options; Introduction and Binomial Pricing; American Puts; American Calls; ; Pricing the Perpetual American Put and Call; Perpetual Options: Underlying Pays No Dividends; Basic Perpetual American Call; Perpetual American Call/Put Model with Dividends; The Perpetual American Call, Continuous Dividends; ; Options on Multiple Underlying Assets; Exchange Options; ; Interest Rate Models; Setting the Stage for Stochastic Interest Rate Models; Pricing When You CANNOT Trade the Underlying Asset; Hedging Bonds in Continuous Time; Solving the Bond Pricing PDE; Vasicek Model; Summary; ; Incomplete Markets; Introduction to Incomplete Markets; Trying to Hedge Options on a Trinomial Tree; Minimum Variance Hedging of a European Option with Default; Binomial Tree Model with Default Risk; ; Appendix 1: Probability Theory Basics—Experiments, Sample Outcomes, Events, and Sample Space; Appendix 2: Proof of De Moivre–Laplace Theorem Using MGF; Appendix 3: Naming Variables in Excel; Appendix 4: Building VBA Macros from Excel; ; Index; ; Exercises and References appear at the end of each chapter.
• Publisher Details: Boca Raton : Chapman and Hall/CRC
• Publication Date: 2014
• Extent: 1 online resource
• Subjects: 332.01/51; Finance -- Mathematical models; Finance -- Simulation methods; BUSINESS & ECONOMICS -- Finance; MATHEMATICS -- General; MATHEMATICS -- Probability & Statistics -- General
• Languages: English
• ISBNs: 9781439871683; 9781439871690; 1439871698
• Related ISBNs: 143987168X
• Notes: Note: Includes bibliographical references and index.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.