Quantitative Finance A Simulation-Based Introduction Using Excel

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. Appendices. Index.

Biography

Matt Davison is an associate dean (administration) in the Faculty of Science and a professor of statistical and actuarial sciences at the University of Western Ontario. Dr. Davison holds the Canada Research Chair in Quantitative Finance.