Advanced modelling in finance using excel and VBA

Albert Jackson, Mike Staunton

263 pages, parution le 01/05/2001

Ajouter à une liste

Indisponible

Résumé

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 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

The book is accompanied by a CD-ROM containing the spreadsheets, 'VBA functions And macros used throughput the work.

Contents

Preface
Acknowledgements
Introduction
Part One Advanced Modelling in Excel
Advanced Excel functions and procedures
Introduction to VBA
Writing VBA user-defined functions
Part Two Equities
Introduction to equities
Portfolio optimization
Asset pricing
Performance measurement and attribution
Part Three 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
Part Four Options on Bonds
Introduction to valuing options on bonds
Interest rate models
Marching the term structure
Appendix
Index

L'auteur - Albert Jackson

Albert Jackson et David Day ont obtenu une maîtrise de design de meubles au Royal Collège of Art de Londres avant de se consacrer à la rédaction, à la réalisation et à l'illustration de livres pratiques. Ce sont les auteurs de Travaux à la défonceuse, Les bois et leurs usages et Finitions, aux éditions La Maison Rustique.

Autres livres de Albert Jackson

Guide du bois, de la menuiserie et de l'ébénisterie

Travaux à la défonceuse

Découvrir tous les livres de Albert Jackson

Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Albert Jackson, Mike Staunton
Parution	01/05/2001
Nb. de pages	263
Format	17 x 25
Couverture	Relié
Poids	290g
Intérieur	Noir et Blanc
EAN13	9780471499220
ISBN13	978-0-471-49922-0