Quantitative Methods for Finance and Investments
eBook - PDF

Quantitative Methods for Finance and Investments

  1. 296 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Quantitative Methods for Finance and Investments

About this book

Quantitative Methods for Finance and Investments ensures that readers come away from reading it with a reasonable degree of comfort and proficiency in applying elementary mathematics to several types of financial analysis. All of the methodology in this book is geared toward the development, implementation, and analysis of financial models to solve financial problems.

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Information

Publisher
Wiley-Blackwell
Year
2009
Print ISBN
9780631223382
Edition
1
eBook ISBN
9781405141840
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. PREFACE
  2. ACKNOWLEDGMENTS
  3. C H A P T E R O N E INTRODUCTION AND OVERVIEW
  4. 1.1 THE IMPORTANCE OF MATHEMATICS IN FINANCE
  5. 1.2 MATHEMATICAL AND COMPUTER MODELING IN FINANCE
  6. 1.3 MONEY, SECURITIES, AND MARKETS
  7. 1.4 TIME VALUE, RISK, ARBITRAGE, AND PRICING
  8. 1.5 THE ORGANIZATION OF THIS BOOK
  9. C H A P T E R T W O A REVIEW OF ELEMENTARY MATHEMATICS: FUNCTIONS AND OPERATIONS
  10. 2.1 INTRODUCTION
  11. 2.2 VARIABLES, EQUATIONS, AND INEQUALITIES
  12. 2.3 EXPONENTS
  13. APPLICATION 2.1: INTEREST AND FUTURE VALUE (A more complete presentation of this material is provided in chapter 4)
  14. 2.4 THE ORDER OF ARITHMETIC OPERATIONS AND THE RULES OF ALGEBRA
  15. APPLICATION 2.2: INITIAL DEPOSIT AMOUNTS (A more complete presentation of this material is provided in chapter 4)
  16. 2.5 THE NUMBER e
  17. 2.6 LOGARITHMS (Background reading: sections 2.2 and 2.5)
  18. APPLICATION 2.3: THE TIME NEEDED TO DOUBLE YOUR MONEY (You may also wish to read related material in chapter 4)
  19. 2.7 SUBSCRIPTS
  20. 2.8 SUMMATIONS (Background reading: sections 2.3 and 2.7)
  21. APPLICATION 2.4: MEAN VALUES (You may also wish to read related material in section 5.1)
  22. 2.9 DOUBLE SUMMATIONS (Background reading: section 2.8)
  23. 2.10 PRODUCTS (Background reading: section 2.8)
  24. APPLICATION 2.5: GEOMETRIC MEANS (Background reading: application 2.4)
  25. APPLICATION 2.6: THE TERM STRUCTURE OF INTEREST RATES (Background reading: application 2.5)
  26. 2.11 FACTORIAL PRODUCTS (Background reading: section 2.10)
  27. APPLICATION 2.7: DERIVING THE NUMBER e (Background reading: section 2.5)
  28. 2.12 PERMUTATIONS AND COMBINATIONS (Background reading: section 2.11)
  29. EXERCISES
  30. APPENDIX 2.A AN INTRODUCTION TO THE EXCELā„¢ SPREADSHEET
  31. C H A P T E R T H R E E A REVIEW OF ELEMENTARY MATHEMATICS: ALGEBRA AND SOLVING EQUATIONS
  32. 3.1 ALGEBRAIC MANIPULATIONS (Background reading: section 2.4)
  33. APPLICATION 3.1: PURCHASE POWER PARITY
  34. APPLICATION 3.2: FINDING BREAK-EVEN PRODUCTION LEVELS
  35. APPLICATION 3.3: SOLVING FOR SPOT AND FORWARD INTEREST RATES (Background reading: sections 1.3 and 2.10, and application 2.6)
  36. 3.2 THE QUADRATIC FORMULA (Background reading: section 3.1)
  37. APPLICATION 3.4: FINDING BREAK-EVEN PRODUCTION LEVELS (Background reading: application 3.2)
  38. APPLICATION 3.5: FINDING THE PERFECTLY HEDGED PORTFOLIO
  39. 3.3 SOLVING SYSTEMS OF EQUATIONS THAT CONTAIN MULTIPLE VARIABLES (Background reading: section 3.1)
  40. APPLICATION 3.6: PRICING FACTORS
  41. APPLICATION 3.7: EXTERNAL FINANCING NEEDS (Background reading: section 3.3)
  42. 3.4 GEOMETRIC EXPANSIONS (Background reading: section 3.1)
  43. APPLICATION 3.8: MONEY MULTIPLIERS
  44. 3.5 FUNCTIONS AND GRAPHS (Background reading: section 2.3)
  45. APPLICATION 3.9: UTILITY OF WEALTH
  46. EXERCISES
  47. APPENDIX 3.A SOLVING SYSTEMS OF EQUATIONS ON A SPREADSHEET (Background reading: section 3.3 and appendix 2.A)
  48. C H A P T E R F O U R THE TIME VALUE OF MONEY
  49. 4.1 INTRODUCTION AND FUTURE VALUE
  50. 4.2 SIMPLE INTEREST (Background reading: sections 2.4, 2.7, and 4.1)
  51. 4.3 COMPOUND INTEREST (Background reading: sections 2.7, 3.1, and 4.2)
  52. 4.4 FRACTIONAL PERIOD COMPOUNDING OF INTEREST
  53. APPLICATION 4.1: APY AND BANK ACCOUNT COMPARISONS
  54. 4.5 CONTINUOUS COMPOUNDING OF INTEREST (Background reading: sections 2.5 and 4.4)
  55. 4.6 ANNUITY FUTURE VALUES (Background reading: sections 2.8, 3.4, and 4.3)
  56. APPLICATION 4.2: PLANNING FOR RETIREMENT (Background reading: sections 2.5, 3.1, and 4.5)
  57. 4.7 DISCOUNTING AND PRESENT VALUE (Background reading: section 4.3)
  58. Deriving the present-value formula
  59. 4.8 THE PRESENT VALUE OF A SERIES OF CASH FLOWS (Background reading: sections 2.8 and 4.7)
  60. 4.9 ANNUITY PRESENT VALUES (Background reading: sections 3.4, 4.6, and 4.8)
  61. Deriving the present-value annuity formula
  62. APPLICATION 4.3: PLANNING FOR RETIREMENT, PART II (Background reading: application 4.2 and section 4.9)
  63. APPLICATION 4.4: VALUING A BOND
  64. 4.10 AMORTIZATION (Background reading: section 4.9)
  65. APPLICATION 4.5: DETERMINING THE MORTGAGE PAYMENT
  66. 4.11 PERPETUITY MODELS (Background reading: section 4.9)
  67. 4.12 SINGLE-STAGE GROWTH MODELS (Background reading: sections 4.9 and 4.11)
  68. APPLICATION 4.6: STOCK VALUATION MODELS
  69. 4.13 MULTIPLE-STAGE GROWTH MODELS* (Background reading: section 4.12)
  70. EXERCISES
  71. APPENDIX 4.A TIME VALUE SPREADSHEET APPLICATIONS
  72. C H A P T E R F I V E RETURN, RISK, AND CO-MOVEMENT
  73. 5.1 RETURN ON INVESTMENT (Background reading: section 2.8 and application 2.4)
  74. APPLICATION 5.1: FUND PERFORMANCE (Background reading: sections 2.8 and 5.1 and application 2.4)
  75. 5.2 GEOMETRIC MEAN RETURN ON INVESTMENT (Background reading: sections 2.10 and 5.1 and application 2.5)
  76. APPLICATION 5.2: FUND PERFORMANCE, PART II (Background reading: section 5.2 and application 5.1)
  77. 5.3 INTERNAL RATE OF RETURN (Background reading: sections 4.7, 4.8, and 4.9)
  78. 5.4 BOND YIELDS
  79. 5.5 AN INTRODUCTION TO RISK
  80. 5.6 EXPECTED RETURN (Background reading: sections 2.8 and 5.5)
  81. 5.7 VARIANCE AND STANDARD DEVIATION
  82. 5.8 HISTORICAL VARIANCE AND STANDARD DEVIATION
  83. 5.9 COVARIANCE
  84. 5.10 THE COEFFICIENT OF CORRELATION AND THE COEFFICIENT OF DETERMINATION
  85. EXERCISES
  86. APPENDIX 5.A RETURN AND RISK SPREADSHEET APPLICATIONS
  87. C H A P T E R S I X ELEMENTARY PORTFOLIO MATHEMATICS
  88. 6.1 AN INTRODUCTION TO PORTFOLIO ANALYSIS (Background reading: sections 5.1 and 5.5)
  89. 6.2 PORTFOLIO RETURN (Background reading: sections 2.8, 5.5, and 6.1)
  90. 6.3 PORTFOLIO VARIANCE (Background reading: sections 2.9, 5.7ā€“5.10, and 6.2)
  91. 6.4 DIVERSIFICATION AND EFFICIENCY
  92. 6.5 THE MARKET PORTFOLIO AND BETA
  93. 6.6 DERIVING THE PORTFOLIO VARIANCE EXPRESSION (Background reading: section 6.3)
  94. EXERCISES
  95. C H A P T E R S E V E N ELEMENTS OF MATRIX MATHEMATICS
  96. 7.1 AN INTRODUCTION TO MATRICES
  97. APPLICATION 7.1: PORTFOLIO MATHEMATICS (Background reading: sections 2.9, 6.2, 6.3, and 7.1)
  98. 7.2 MATRIX ARITHMETIC (Background reading: sections 2.9 and 7.1)
  99. APPLICATION 7.2: PORTFOLIO MATHEMATICS, PART II (Background reading: application 7.1 and section 7.2)
  100. APPLICATION 7.3: PUTā€“CALL PARITY (Background reading: section 7.2)
  101. 7.3 INVERTING MATRICES (Background reading: sections 3.3 and 7.2)
  102. 7.4 SOLVING SYSTEMS OF LINEAR EQUATIONS (Background reading: sections 1.3, 3.3, and 7.3)
  103. APPLICATION 7.4: EXTERNAL FUNDING REQUIREMENTS (Background reading: section 7.5 and application 3.7)
  104. APPLICATION 7.5: COUPON BONDS AND DERIVING YIELD CURVES (Background reading: sections 4.8, 4.9, and 7.4 and applications 2.6 and 4.4)
  105. APPLICATION 7.6: ARBITRAGE WITH RISKLESS BONDS (Background reading: application 7.5)
  106. APPLICATION 7.7: FIXED INCOME PORTFOLIO DEDICATION (Background reading: application 7.6)
  107. APPLICATION 7.8: BINOMIAL OPTION PRICING (Background reading: section 7.4 and application 7.3)
  108. 7.5 SPANNING THE STATE SPACE (Background reading: sections 7.3 and 7.4)
  109. APPLICATION 7.9: USING OPTIONS TO SPAN THE STATE SPACE (Background reading: section 7.5 and application 7.8)
  110. EXERCISES
  111. APPENDIX 7.A MATRIX MATHEMATICS ON A SPREADSHEET (Background reading: sections 7.3, 7.4, and 7.5 and appendix 3.A)
  112. C H A P T E R E I G H T DIFFERENTIAL CALCULUS
  113. 8.1 FUNCTIONS AND LIMITS (Background reading: sections 2.2 and 3.5)
  114. APPLICATION 8.1: THE NATURAL LOG (Background reading: sections 2.5, 2.11, 4.4, 4.5, and 8.1 and application 2.7)
  115. 8.2 SLOPES, DERIVATIVES, MAXIMA, AND MINIMA (Background reading: section 8.1)
  116. 8.3 DERIVATIVES OF POLYNOMIALS (Background reading: section 8.2)
  117. APPLICATION 8.2: MARGINAL UTILITY (Background reading: section 8.3 and application 3.9)
  118. APPLICATION 8.3: DURATION AND IMMUNIZATION (Background reading: sections 4.8, 4.9, 5.4, and 8.3 and application 4.4)
  119. APPLICATION 8.4: PORTFOLIO RISK AND DIVERSIFICATION (Background reading: sections 6.1, 6.4, 6.5 and 8.2)
  120. 8.4 PARTIAL AND TOTAL DERIVATIVES (Background reading: section 8.3)
  121. 8.5 THE CHAIN RULE, PRODUCT RULE, AND QUOTIENT RULE (Background reading: sections 8.3 and 8.4)
  122. APPLICATION 8.5: PLOTTING THE CAPITAL MARKET LINE (Background reading: sections 6.4, 7.4, and 8.5)
  123. 8.6 LOGARITHMIC AND EXPONENTIAL FUNCTIONS (Background reading: sections 2.5, 2.6, 8.1, and 8.2)
  124. 8.7 TAYLOR SERIES EXPANSIONS (Background reading: sections 2.11 and 8.3)
  125. APPLICATION 8.6: CONVEXITY AND IMMUNIZATION (Background reading: section 8.7 and application 8.4)
  126. 8.8 THE METHOD OF LAGRANGE MULTIPLIERS (Background reading: sections 7.4 and 8.4)
  127. APPLICATION 8.7: OPTIMAL PORTFOLIO SELECTION (Background reading: sections 6.3, 6.4, and 8.7)
  128. EXERCISES
  129. APPENDIX 8.A DERIVATIVES OF POLYNOMIALS (Background reading: sections 2.12 and 8.3)
  130. APPENDIX 8.C PORTFOLIO RISK MINIMIZATION ON A SPREADSHEET (Background reading: section 8.8, application 8.8, and appendix 7.C)
  131. C H A P T E R N I N E INTEGRAL CALCULUS
  132. 9.1 ANTIDIFFERENTIATION AND THE INDEFINITE INTEGRAL (Background reading: section 8.3)
  133. 9.2 RIEMANN SUMS (Background reading: section 9.1)
  134. 9.3 DEFINITE INTEGRALS AND AREAS (Background reading: sections 9.1 and 9.2)
  135. APPLICATION 9.1: CUMULATIVE DENSITIES (Background reading: sections 2.4 and 9.3)
  136. APPLICATION 9.2: EXPECTED VALUE AND VARIANCE (Background reading: sections 5.6, 5.7, and 9.2 and application 9.1)
  137. APPLICATION 9.3: VALUING CONTINUOUS DIVIDEND PAYMENTS (Background reading: sections 4.5, 4.8, 9.2, and 9.3)
  138. APPLICATION 9.4: EXPECTED OPTION VALUES (Background reading: section 9.3 and application 7.8)
  139. 9.4 DIFFERENTIAL EQUATIONS
  140. APPLICATION 9.5: SECURITY RETURNS IN CONTINUOUS TIME (Background reading: section 9.4 and application 9.3)
  141. APPLICATION 9.6: ANNUITIES AND GROWING ANNUITIES (Background reading: section 9.4 and application 9.5)
  142. EXERCISES
  143. APPENDIX 9.A RULES FOR FINDING INTEGRALS
  144. APPENDIX 9.B RIEMANN SUMS ON A SPREADSHEET (Background reading: section 9.2)
  145. C H A P T E R T E N ELEMENTS OF OPTIONS MATHEMATICS
  146. 10.1 AN INTRODUCTION TO STOCK OPTIONS
  147. 10.2 BINOMIAL OPTION PRICING: ONE TIME PERIOD (Background reading: section 10.1 and application 7.8)
  148. 10.3 BINOMIAL OPTION PRICING: MULTIPLE TIME PERIODS (Background reading: section 10.2)
  149. 10.4 THE BLACKā€“SCHOLES OPTION PRICING MODEL (Background reading: section 10.3)
  150. 10.5 PUTS AND VALUATION (Background reading: sections 10.1 and 10.4 and application 7.9)
  151. 10.6 BLACKā€“SCHOLES MODEL SENSITIVITIES (Background reading: sections 8.4, 8.5, and 10.4)
  152. 10.7 ESTIMATING IMPLIED VOLATILITIES (Background reading: sections 8.6 and 10.6)
  153. EXERCISES
  154. REFERENCES
  155. A P P E N D I X A SOLUTIONS TO EXERCISES
  156. A P P E N D I X B THE Z-TABLE
  157. A P P E N D I X C NOTATION
  158. A P P E N D I X D GLOSSARY
  159. INDEX

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Yes, you can access Quantitative Methods for Finance and Investments by John Teall,Iftekhar Hasan in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over 1.5 million books available in our catalogue for you to explore.