Advanced Modelling in Finance using Excel and VBA [Hardback]by Mary Jackson and Mike Staunton
Usually ships within 2 to 4 working days Description of Advanced Modelling in Finance using Excel and VBAThis book will appeal to both graduate students and practitioners. Students will value the Excel spreadsheets allowing them to develop their knowledge of modelling in finance, using a step–by–step approach accompanied by explanations using elementary mathematical statistics and probability. Practitioners will value the VBA functions as a source of up–to–date and efficient programs that can be easily used from Excel.Standard material covered includes: ∗ portfolio theory and efficient frontiers ∗ the Capital Asset Pricing Model, beta and variance–covariance matrices ∗ performance measurement ∗ the Black–Scholes option pricing formula ∗ binomial trees for options on equities and bonds ∗ Monte Carlo simulation ∗ bond yield–to–maturity, duration and convexity ∗ term structure models from Vasicek and Cox, Ingersoll and Ross Advanced topics covered include: ∗ Value–at–Risk ∗ style analysis ∗ an improved binomial tree (Leisen and Reimer) ∗ Quasi Monte Carlo simulation ∗ volatility smiles ∗ Black, Derman and Toy trees ∗ normal interest rate trees The book is accompanied by a CD–ROM containing the spreadsheets, VBA functions and macros used throughout the work. Title Information
Write a review of this book Customer Reviews from AmazonAbout Mary Jackson and Mike StauntonMARY JACKSON and MIKE STAUNTON have worked together teaching spreadsheet modelling to both graduate students and practitioners since 1985.MARY JACKSON was Assistant Professor of Decision Sciences at London Business School. She is author of three previous books for John Wiley Sons: Understanding Expert Systems (1992), Advanced Spreadsheet Modelling (1988) and Creative Modelling (1985). MIKE STAUNTON is Visiting Lecturer in Numerical Methods at City University Business School and Director of the London Share Price Datbase at London Business School. He is co–author, with Elroy Dimson and Paul Marsh, of Millennium Book II: 101 Years of Investment Returns (2001) and Millennium Book: A Century of Investment Returns (2000). Contents of Advanced Modelling in Finance using Excel and VBAIntroductionFinance insights Asset price assumptions Mathematical and statistical problems Numerical Methods Excel solutions Topics covered Related Excel workbooks PART ONE: Advanced Modelling in Excel Advanced Excel functions and procedures Accessing functions in Excel Mathematical functions Statistical functions Lookup functions Other functions Auditing tools Data tables XY charts Access to Data Analysis and Solver Using range names Regression Goal Seek Matrix algebra and related functions Introduction to VBA Advantages of mastering VBA Object-oriented aspects of VBA Starting to write VBA macros Elements of programming Communicating between macros and the spreadsheet Subroutine examples Writing VBA user-defined functions A simple sales commission function Creating Commission (Sales) in the spreadsheet Two functions with multiple inputs for valuing options Manipulating arrays in VBA Expected value and variance functions with array inputs Portfolio variance function with array inputs Functions with array output Using Excel and VBA functions in user-defined functions Pros and cons of developing VBA functions PART TWO: Equities Introduction to equities Portfolio optimisation Portfolio mean and variance Risk-return representation of portfolios Using Solver to find efficient points Generating the efficient frontier (Huang and Litzenberger's approach) Constrained frontier portfolios Combining risk-free and risky assets Problem One - combining a risk-free asset with a risky asset Problem Two - combining two risky assets Problem Three - combining a risk-free asset with a risky portfolio User-defined functions in Module 1 Functions for the three generic portfolio problems in Module 1 Macros in Module M Asset pricing The single-index model Estimating beta coefficients The capital asset pricing model Variance-covariance matrices Value-at-Risk Horizon wealth Moments of related distributions such as normal and lognormal User-defined functions in Module 1 Performance measurement and attribution Conventional performance measurement Active-passive management Introduction to style analysis Simple style analysis Rolling-period style analysis Confidence intervals for style weights User-defined functions in Module1 Macros in Module M PART THREE: Options on Equities Introduction to options on equities The genesis of the Black-Scholes formula The Black-Scholes formula Hedge portfolios Risk-neutral valuation A simple one-step binomial tree with risk neutral valuation Put-call Parity Dividends American features Numerical methods Volatility and non-normal share returns Binomial trees Introduction to binomial trees A simplified binomial tree The Jarrow and Rudd binomial tree The Cox, Ross and Rubinstein tree Binomial approximations and Black-Scholes formula Convergence of CRR binomial trees The Leisen and Reimer tree Comparison of CRR and LR trees American options and the CRR American tree User-defined functions in Module 0 and Module 1 The Black-Scholes formula Black-Scholes formula in the spreadsheet Options on currencies and commodities Calculating the option's 'greek' parameters Hedge portfolios Formal derivation of the Black-Scholes formula User-defined functions in Module 1 Other numerical methods for European options Introduction to Monte Carlo simulation Simulation with antithetic variables Simulation with quasi-random sampling Comparing simulation methods Calculating greeks in Monte Carlo simulation Numerical integration User-defined functions in Module 1 Non-normal distributions and implied volatility Black-Scholes using alternative distributional assumptions Implied volatility Adapting for skewness and kurtosis The volatility smile User-defined functions in Module 1 PART FOUR: Options on Bonds Introduction on valuing options on bonds The term structure of interest rates Cash flows for coupon bonds and yield to maturity Binomial trees Black's bond option valuation formula Duration and convexity Notation Interest rate models Vasicek's term structure model Valuing European options on zero-coupon bonds, Vasicek's model Valuing European options on coupon bonds, Vasicek's model CIR term structure model Valuing European options on zero-coupon bonds, CIR model Valuing European options on coupon bonds, CIR model User-defined functions in Module1 Matching the term structure Trees with lognormally distributed interest rates Trees with normal interest rates The Black, Derman and Toye tree Valuing bond options using BDT trees User-defined functions in Module 1 Appendix Other VBA functions Forecasting ARIMA modelling Splines Eigenvalues and eigenvectors References Index |
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