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07778nam a22002177a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20220316142503.0 |
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| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781439871683 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.0151 |
| Item number |
DAV |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Davison, Matt. |
| 245 ## - TITLE STATEMENT |
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| Title |
Quantitative finance: a simulation-based introduction using excel |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Name of publisher, distributor, etc. |
CRC Press |
| Place of publication, distribution, etc. |
Boca Raton |
| Date of publication, distribution, etc. |
2014 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
xix, 511 p. |
| 365 ## - TRADE PRICE |
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| Price type code |
GBP |
| Price amount |
74.99 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc. note |
Table of Contents<br/>Introduction<br/><br/>Intuition about Uncertainty and Risk<br/>Introduction<br/>Individual Attitudes toward Risk<br/>The St. Petersburg Paradox<br/>Looking Forward to Chapter 3<br/><br/>The Classical Approach to Decision Making under Uncertainty<br/>Map to the Future<br/><br/>Valuing Investment Opportunities: The Discounted Cash Flow Method<br/>Discounted Cash Flow Method for Evaluating Investment Opportunities<br/>Conclusions<br/><br/>Repaying Loans Over Time<br/>Introduction<br/>Repaying a Loan over Time: Excel<br/>Repaying a Loan over Time: Mathematics<br/>First-Order Difference Equations<br/>Solving the Loan Repayment Difference Equation<br/>More Examples of Using Difference Equations to Find Loan Payments<br/>Writing the Difference Equation in Forward versus Backward Forms<br/>Bridges to the Future<br/><br/>Bond Pricing with Default: Using Simulations<br/>Modeling a Defaultable Bond or Loan<br/>Financial Insights<br/>Simulating Loan Portfolios<br/>What Happens if There Are a Large Number of Independent Loans?<br/>Bridge to the Future<br/><br/>Bond Pricing with Default: Using Difference Equations<br/>Risky Bonds<br/>Using Difference Equations to Find C<br/>Exploring the Insights Arising from Equation 7.5<br/>Determining Recovery Rates<br/>Determining the Probability of Default<br/>A Bridge to the Future<br/><br/>Difference Equations for Life Annuities<br/>Introduction<br/><br/>Tranching and Collateralized Debt Obligations<br/>Collateralized Debt Obligations<br/>Tranched Portfolios<br/>The Detailed Calculation<br/>Correlation of Two Identical Bonds<br/>Conclusion<br/><br/>Bond CDOs: More Than Two Bonds, Correlation, and Simulation<br/>Introduction<br/>Using an Excel Simulation to Analyze CDOs with More Than Two Bonds<br/>Collateralized Debt Obligations: An Example of Financial Engineering<br/>The Binomial Simplification<br/>Correlated Defaults<br/><br/>Fundamentals of Fixed Income Markets<br/>What Are Bonds?<br/>Getting Down to Quantitative Details<br/>Simplest Bond Pricing Equation<br/>How Bonds Are Traded in Canada<br/>Clean and Dirty Bond Prices<br/>Conclusion and Bridge to the Next<br/><br/>Yield Curves and Bond Risk Measures<br/>Introduction<br/>Constructing Yield Curves from Bond Prices<br/>Bond Price Sensitivities to the Yield<br/><br/>Forward Rates<br/>Introduction<br/>Relationships between Forward Rates and the Yield Curve<br/>Yield Curves, Discount Factors, and Forward Rates<br/>Interpreting Forward Curves<br/><br/>Modeling Stock Prices<br/>What Are Stocks?<br/>Simple Statistical Analysis of Real Stock Data<br/><br/>Mean Variance Portfolio Optimization<br/>Selecting Portfolios<br/>CAPM and Markowitz<br/><br/>A Qualitative Introduction to Options<br/>Stock Option Definitions<br/>Uses for Put and Call Options<br/>Qualitative Behavior of Puts and Calls<br/><br/>Value at Risk (VaR)<br/>Introduction to Value at Risk<br/>Pitfalls of VaR<br/>Summary<br/><br/>Pricing Options Using Binomial Trees<br/>Introduction<br/>Binomia l Model<br/>Single-Period Binomial Tree Model for Option Pricing<br/>Extending the Binomial Model to Multiple Time Steps<br/>Multiple-Step Binomial Trees<br/>Summary<br/><br/>Random Walks<br/>Introduction<br/>Deriving the Diffusion Partial Differential Equation<br/><br/>Basic Stochastic Calculus<br/>Basics of Stochastic Calculus<br/>Stochastic Integration by Examples<br/>Conclusions and Bridge to Next Chapters<br/><br/>Simulating Geometric Brownian Motion<br/>Simulating GBM Stock Prices at a Single Future Time<br/>Simulating a Time Sequence of GBM Stock Prices<br/>Summary<br/><br/>Black Scholes PDE for Pricing Options in Continuous Time<br/>Introduction<br/>Hedging Argument<br/>Call Price Solution of the Black Scholes Equation<br/>Why Short Selling Is So Dangerous<br/>Summary and Bridge to the Future<br/><br/>Solving the Black Scholes PDE<br/>Solving the Black Scholes Partial PDE for a European Call<br/>General European Option Payoffs: Risk-Neutral Pricing<br/>Summary<br/><br/>Pricing Put Options Using Put Call Parity<br/>Summary<br/><br/>Some Approximate Values of the Black Scholes Call Formula<br/>Approximate Call Formulas at-the-Money<br/>Approximate Call Values Near-the-Money<br/>Approximate Call Values Far-from-the-Money<br/><br/>Simulating Delta Hedging<br/>Introduction<br/>How Does Delta Hedging Really Work?<br/>Understanding the Results of the Delta Hedging Process<br/>The Impact of Transaction Costs<br/>A Hedgers Perspective on Option Gamma or, "Big Gamma" = "Big Money"<br/>Bridge to the Future<br/><br/>Black Scholes with Dividends<br/>Modeling Dividends<br/>The Black Scholes PDE for the Continuously Paid Dividend Case<br/>Pricing the Prepaid Forward on a Continuous Dividend Paying Stock<br/>More Complicated Derivatives on Underlying Paying Continuous Dividends<br/><br/>American Options<br/>Introduction and Binomial Pricing<br/>American Puts<br/>American Calls<br/><br/>Pricing the Perpetual American Put and Call<br/>Perpetual Options: Underlying Pays No Dividends<br/>Basic Perpetual American Call<br/>Perpetual American Call/Put Model with Dividends<br/>The Perpetual American Call, Continuous Dividends<br/><br/>Options on Multiple Underlying Assets<br/>Exchange Options<br/><br/>Interest Rate Models<br/>Setting the Stage for Stochastic Interest Rate Models<br/>Pricing When You CANNOT Trade the Underlying Asset<br/>Hedging Bonds in Continuous Time<br/>Solving the Bond Pricing PDE<br/>Vasicek Model<br/>Summary<br/><br/>Incomplete Markets<br/>Introduction to Incomplete Markets<br/>Trying to Hedge Options on a Trinomial Tree<br/>Minimum Variance Hedging of a European Option with Default<br/>Binomial Tree Model with Default Risk<br/><br/>Appendix 1: Probability Theory Basics—Experiments, Sample Outcomes, Events, and Sample Space<br/>Appendix 2: Proof of De Moivre–Laplace Theorem Using MGF<br/>Appendix 3: Naming Variables in Excel<br/>Appendix 4: Building VBA Macros from Excel<br/> |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
Book Description<br/>Teach Your Students How to Become Successful Working Quants<br/><br/>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.<br/><br/>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.<br/><br/>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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Microsoft Excel (Computer file) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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Finance--Mathematical models |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Business enterprises--Finance |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |