Advanced modelling in finance using Excel and VBA

Contributor(s):

Material type: Text

TextLanguage: English Series: FinancePublication details: Wiley, 2001Description: 263 p. ; 25 cmISBN:

9780471499220

Subject(s):

Contents:

ADVANCED MODELLING IN EXCEL - Advanced Excel Functions and Procedures - Introduction to VBA - Writing VBA User-Defined Functions - EQUITIES - Introduction to Equities - Portfolio Optimisation - Asset Pricing - Performance Measurement and Attribution - OPTIONS ON EQUITIES - Introduction to Options on Equities - Binomial Trees - The Black - Scholes Formula. - Other Numerical Methods for European Options - Non-Normal Distributions and Implied Volatility - OPTIONS ON BONDS - Introduction to Valuing Options on Bonds - Interest Rate Models - Matching the Term Structure - Appendix: Other VBA Functions - Index.

Summary: 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.

Holdings
Item type	Current library	Call number	Status	Date due	Barcode
Recommended bibliography book	TBS Barcelona Libre acceso	HG173 JAC (Browse shelf(Opens below))	Checked out	27/05/2024	B03851

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.

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