Advanced Modeling in Finance Using Excel and VBA
- 4h 58m
- Mary Jackson, Mike Staunton
- John Wiley & Sons (UK)
- 2001
This book will appeal to both graduate students and practitioners. Students will value the Excel spreadsheets allowing them to develop their knowledge of modeling 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 & Reimer)
- quasi Monte Carlo simulation
- volatility smiles
- Black, Derman & Toy trees
- normal interest rate trees
About the Authors
Mary Jackson and Mike Staunton have worked together teaching spreadsheet modeling 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 Modeling (1988) and Creative Modeling (1985).
Mike Staunton is Visiting Lecturer in Numerical Methods at City University Business School and Director of the London Share Price Database at London Business School. He is coauthor, with Elroy Dimson and Paul Marsh, of Millennium Book II: 100 Years of Investment Returns (2001) and The Millennium Book: A Century of Investment Returns (2000).
In this Book
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Introduction
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Advanced Excel Functions and Procedures
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Introduction to VBA
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Writing VBA User-defined Functions
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Introduction to Equities
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Portfolio Optimisation
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Asset Pricing
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Performance Measurement and Attribution
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Introduction to Options on Equities
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Binomial Trees
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The Black—Scholes Formula
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Other Numerical Methods for European Options
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Non-normal Distributions and Implied Voaltility
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Introduction to Valuing Options on Bonds
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Interest Rate Models
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Matching the Term Structure
