TY  - BOOK
AU  - Staunton, Mike
AU  - Jackson, Mary
TI  - Advanced modelling in finance using Excel and VBA
T2  - Finance
SN  - 9780471499220
PY  - 2001///
PB  - Wiley
KW  - Microsoft Excel (Computer file)
KW  - Microsoft Visual Basic for applications
KW  - Finance
KW  - Mathematical models
KW  - Bibliography M1 - CO Audit and Controlling: Advanced Corporate Finance
KW  - Bibliography MSc - Sustainable Financial Management & Control with Data Analytics: Financial Modelling
N1  - 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.
N2  - 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
ER  -