Advanced Modelling in Finance using Excel and VBA

Mary Jackson; Mike Staunton

Couverture rigide

ISBN 10 : 0471499226 ISBN 13 : 9780471499220

Editeur : John Wiley & Sons, 2001

This new and unique book demonstrates that Excel and VBA can play an important role in the explanation and implementation of numerical methods across finance. Advanced Modelling in Finance provides a comprehensive look at equities, options on equities and options on bonds from the early 1950s to the late 1990s. The book adopts a step-by-step approach to understanding the more sophisticated aspects of Excel macros and VBA programming, showing how these programming techniques can be used to model and manipulate financial data, as applied to equities, bonds and options. The book is essential for financial practitioners who need to develop their financial modelling skill sets as there is an increase in the need to analyse and develop ever more complex 'what if' scenarios.* Specifically applies Excel and VBA to the financial markets* Packaged with a CD containing the software from the examples throughout the book Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Quatrième de couverture :

This 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.

Biographie de l'auteur :

MARY 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).