Quantitative Methods for Finance and Investments

Front Cover
John Wiley & Sons, Feb 4, 2009 - Business & Economics - 296 pages
0 Reviews

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.

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

C H A P T E R O N E INTRODUCTION AND OVERVIEW
1
12 MATHEMATICAL AND COMPUTER MODELING IN FINANCE
2
13 MONEY SECURITIES AND MARKETS
3
14 TIME VALUE RISK ARBITRAGE AND PRICING
5
15 THE ORGANIZATION OF THIS BOOK
6
FUNCTIONS AND OPERATIONS
7
23 EXPONENTS
8
INTEREST AND FUTURE VALUE A more complete presentation of this material is provided in chapter 4
9
C H A P T E R S I X ELEMENTARY PORTFOLIO MATHEMATICS
103
sections 29 57510 and 62
104
64 DIVERSIFICATION AND EFFICIENCY
106
65 THE MARKET PORTFOLIO AND BETA
110
section 63
111
EXERCISES
113
C H A P T E R S E V E N ELEMENTS OF MATRIX MATHEMATICS
115
PORTFOLIO MATHEMATICS Background reading sections 29 62 63 and 71
116

24 THE ORDER OF ARITHMETIC OPERATIONS AND THE RULES OF ALGEBRA
10
INITIAL DEPOSIT AMOUNTS A more complete presentation of this material is provided in chapter 4
11
sections 22 and 25
12
THE TIME NEEDED TO DOUBLE YOUR MONEY You may also wish to read related material in chapter 4
13
27 SUBSCRIPTS
14
MEAN VALUES You may also wish to read related material in section 51
15
section 28
16
section 28
17
THE TERM STRUCTURE OF INTEREST RATES Background reading application 25
18
section 210
19
section 211
20
EXERCISES
21
APPENDIX 2A AN INTRODUCTION TO THE EXCEL SPREADSHEET
23
ALGEBRA AND SOLVING EQUATIONS
25
PURCHASE POWER PARITY
27
FINDING BREAKEVEN PRODUCTION LEVELS
28
SOLVING FOR SPOT AND FORWARD INTEREST RATES Background reading sections 13 and 210 and application 26
29
FINDING BREAKEVEN PRODUCTION LEVELS Background reading application 32
30
FINDING THE PERFECTLY HEDGED PORTFOLIO
31
section 31
32
PRICING FACTORS
35
section 31
38
MONEY MULTIPLIERS
40
section 23
41
UTILITY OF WEALTH
43
EXERCISES
44
section 33 and appendix 2A
48
C H A P T E R F O U R THE TIME VALUE OF MONEY
51
sections 27 31 and 42
52
44 FRACTIONAL PERIOD COMPOUNDING OF INTEREST
53
APY AND BANK ACCOUNT COMPARISONS
55
sections 25 and 44
56
sections 28 34 and 43
57
PLANNING FOR RETIREMENT Background reading sections 25 31 and 45
59
section 43
60
Deriving the presentvalue formula
61
sections 34 46 and 48
62
Deriving the presentvalue annuity formula
63
PLANNING FOR RETIREMENT PART II Background reading application 42 and section 49
64
section 49
65
DETERMINING THE MORTGAGE PAYMENT
66
section 49
67
sections 49 and 411
68
STOCK VALUATION MODELS
70
section 412
72
EXERCISES
73
APPENDIX 4A TIME VALUE SPREADSHEET APPLICATIONS
77
C H A P T E R F I V E RETURN RISK AND COMOVEMENT
79
FUND PERFORMANCE Background reading sections 28 and 51 and application 24
81
sections 210 and 51 and application 25
82
FUND PERFORMANCE PART II Background reading section 52 and application 51
83
sections 47 48 and 49
84
54 BOND YIELDS
87
55 AN INTRODUCTION TO RISK
88
57 VARIANCE AND STANDARD DEVIATION
89
58 HISTORICAL VARIANCE AND STANDARD DEVIATION
91
59 COVARIANCE
93
510 THE COEFFICIENT OF CORRELATION AND THE COEFFICIENT OF DETERMINATION
94
EXERCISES
95
APPENDIX 5A RETURN AND RISK SPREADSHEET APPLICATIONS
99
sections 29 and 71
117
PORTFOLIO MATHEMATICS PART II Background reading application 71 and section 72
120
PUTCALL PARITY Background reading section 72
121
sections 33 and 72
123
sections 13 33 and 73
125
EXTERNAL FUNDING REQUIREMENTS Background reading section 75 and application 37
126
COUPON BONDS AND DERIVING YIELD CURVES Background reading sections 48 49 and 74 and applications 26 and 44
127
ARBITRAGE WITH RISKLESS BONDS Background reading application 75
130
FIXED INCOME PORTFOLIO DEDICATION Background reading application 76
131
BINOMIAL OPTION PRICING Background reading section 74 and application 73
132
sections 73 and 74
133
USING OPTIONS TO SPAN THE STATE SPACE Background reading section 75 and application 78
136
EXERCISES
137
sections 73 74 and 75 and appendix 3A
142
C H A P T E R E I G H T DIFFERENTIAL CALCULUS
145
THE NATURAL LOG Background reading sections 25 211 44 45 and 81 and application 27
146
section 81
147
section 82
149
MARGINAL UTILITY Background reading section 83 and application 39
151
DURATION AND IMMUNIZATION Background reading sections 48 49 54 and 83 and application 44
153
PORTFOLIO RISK AND DIVERSIFICATION Background reading sections 61 64 65 and 82
156
section 83
157
sections 83 and 84
158
PLOTTING THE CAPITAL MARKET LINE Background reading sections 64 74 and 85
159
sections 25 26 81 and 82
165
sections 211 and 83
166
CONVEXITY AND IMMUNIZATION Background reading section 87 and application 84
167
sections 74 and 84
168
OPTIMAL PORTFOLIO SELECTION Background reading sections 63 64 and 87
170
EXERCISES
172
sections 212 and 83
176
section 88 application 88 and appendix 7C
178
C H A P T E R N I N E INTEGRAL CALCULUS
180
section 91
181
sections 91 and 92
185
CUMULATIVE DENSITIES Background reading sections 24 and 93
186
EXPECTED VALUE AND VARIANCE Background reading sections 56 57 and 92 and application 91
188
VALUING CONTINUOUS DIVIDEND PAYMENTS Background reading sections 45 48 92 and 93
189
EXPECTED OPTION VALUES Background reading section 93 and application 78
191
SECURITY RETURNS IN CONTINUOUS TIME Background reading section 94 and application 93
193
ANNUITIES AND GROWING ANNUITIES Background reading section 94 and application 95
194
EXERCISES
195
APPENDIX 9A RULES FOR FINDING INTEGRALS
198
section 92
199
C H A P T E R T E N ELEMENTS OF OPTIONS MATHEMATICS
203
ONE TIME PERIOD Background reading section 101 and application 78
205
MULTIPLE TIME PERIODS Background reading section 102
207
section 103
210
sections 101 and 104 and application 79
212
sections 84 85 and 104
213
sections 86 and 106
215
EXERCISES
219
REFERENCES
222
A P P E N D I X A SOLUTIONS TO EXERCISES
224
A P P E N D I X B THE ZTABLE
266
A P P E N D I X C NOTATION
267
A P P E N D I X D GLOSSARY
270
INDEX
274
Copyright

Other editions - View all

Common terms and phrases

About the author (2009)


John L. Teall is Professor of Finance at Pace University. He has published numerous articles in scholarly journals and has served on university faculties around the world. Dr Teall is a former member of the American Stock Exchange and has done consulting work for many of the world's leading financial institutions.

Iftekhar Hasan is Professor of Finance at the New Jersey Institute of Technology. He has published numerous articles in academic journals and has been associated with several universities and regulatory organizations in Europe. He is the co-editor of Research in Banking and Finance.

Bibliographic information