Advanced modelling in finance using Excel and VBA
Material type: TextLanguage: English Series: FinancePublication details: Wiley, 2001Description: 263 p. ; 25 cmISBN:- 9780471499220
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 |
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.
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.