Quantitative Finance

Quantitative Finance PDF Author: Matt Davison
Publisher: CRC Press
ISBN: 1439871698
Category : Business & Economics
Languages : en
Pages : 523

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Book Description
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.

Quantitative Finance

Quantitative Finance PDF Author: Matt Davison
Publisher: CRC Press
ISBN: 1439871698
Category : Business & Economics
Languages : en
Pages : 523

Get Book Here

Book Description
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.

An Introduction to Quantitative Finance

An Introduction to Quantitative Finance PDF Author: Stephen Blyth
Publisher: Oxford University Press, USA
ISBN: 0199666598
Category : Business & Economics
Languages : en
Pages : 193

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Book Description
The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.

A First Course in Quantitative Finance

A First Course in Quantitative Finance PDF Author: Thomas Mazzoni
Publisher: Cambridge University Press
ISBN: 1108419577
Category : Business & Economics
Languages : en
Pages : 599

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Book Description
Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.

Quantitative Finance

Quantitative Finance PDF Author: Maria Cristina Mariani
Publisher: John Wiley & Sons
ISBN: 1118629965
Category : Business & Economics
Languages : en
Pages : 494

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Book Description
Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.

Implementing Models in Quantitative Finance: Methods and Cases

Implementing Models in Quantitative Finance: Methods and Cases PDF Author: Gianluca Fusai
Publisher: Springer Science & Business Media
ISBN: 3540499598
Category : Business & Economics
Languages : en
Pages : 606

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Book Description
This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

Quantitative Finance

Quantitative Finance PDF Author: A. Reghai
Publisher: Springer
ISBN: 1137414502
Category : Business & Economics
Languages : en
Pages : 284

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Book Description
The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets.

Applied Quantitative Finance

Applied Quantitative Finance PDF Author: Wolfgang Karl Härdle
Publisher: Springer Science & Business Media
ISBN: 3540691790
Category : Mathematics
Languages : en
Pages : 452

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Book Description
Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.

Quantitative Finance

Quantitative Finance PDF Author: Erik Schlogl
Publisher: CRC Press
ISBN: 1315359855
Category : Mathematics
Languages : en
Pages : 356

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Book Description
Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web Resource The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.

Introduction to Quantitative Finance

Introduction to Quantitative Finance PDF Author: Robert R. Reitano
Publisher: MIT Press
ISBN: 026201369X
Category : Mathematics
Languages : en
Pages : 747

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Book Description
An introduction to many mathematical topics applicable to quantitative finance that teaches how to “think in mathematics” rather than simply do mathematics by rote. This text offers an accessible yet rigorous development of many of the fields of mathematics necessary for success in investment and quantitative finance, covering topics applicable to portfolio theory, investment banking, option pricing, investment, and insurance risk management. The approach emphasizes the mathematical framework provided by each mathematical discipline, and the application of each framework to the solution of finance problems. It emphasizes the thought process and mathematical approach taken to develop each result instead of the memorization of formulas to be applied (or misapplied) automatically. The objective is to provide a deep level of understanding of the relevant mathematical theory and tools that can then be effectively used in practice, to teach students how to “think in mathematics” rather than simply to do mathematics by rote. Each chapter covers an area of mathematics such as mathematical logic, Euclidean and other spaces, set theory and topology, sequences and series, probability theory, and calculus, in each case presenting only material that is most important and relevant for quantitative finance. Each chapter includes finance applications that demonstrate the relevance of the material presented. Problem sets are offered on both the mathematical theory and the finance applications sections of each chapter. The logical organization of the book and the judicious selection of topics make the text customizable for a number of courses. The development is self-contained and carefully explained to support disciplined independent study as well. A solutions manual for students provides solutions to the book's Practice Exercises; an instructor's manual offers solutions to the Assignment Exercises as well as other materials.

Theoretical Foundations For Quantitative Finance

Theoretical Foundations For Quantitative Finance PDF Author: Luca Spadafora
Publisher: World Scientific Publishing Company
ISBN: 9813202491
Category : Business & Economics
Languages : en
Pages : 224

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Book Description
This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner perspective, with a deep focus on practical implications, favoring the intuition and the imagination. In addition, the new post-crisis paradigms, like multi-curves, x-value adjustments (xVA) and Counterparty Credit Risk are also discussed in a very simple framework. Finally, real world data and numerical simulations are compared in order to provide a reader with a simple and handy insight on the actual model performances.