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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.
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