Advanced Modelling in Finance using EXCEL and VBA, W. CD-ROM

Inhaltsverzeichnis:

From the contents:
Chapter outline:
1 Introduction to book

Part A: Advanced modelling
2 Advanced Excel
3 Introduction to VBA4 User-defined functions in VBA

Part B: Equities
5 Introduction to equities
Overview of finance theory
Overview of numerical and spreadsheet techiques
Essential Excel functions
Use of subroutines
6 Portfolio optimisation
Portfolio mean and variance
Risk-return representation of portfolios
Using solver to find efficient points
Generating the efficient frontier (Huang and Litzenberger's approach)
Constrained frontier portfolios
Combining risk-free and risky assets
Problem One - combining a risk-free asset with a risky one
Problem Two - combining two risky assets
Problem Three - combining a risk-free asset with a risky portfolio
User-defined functions in Module 1
Functions for the three generic portfolio problems in Module 1
Macros in Module M
7 Asset pricing
The single-index model
Estimating Beta coefficients
The capital asset pricing model
Variance-covariance matrices
Value at RiskHorizon wealth
Moments of related distributions such as Normal and Log
NormalUser-defined functions in Module 1
8 Performance measurement and attribution
Conventional performance measurement
Active-passive management
Style analysis
Introduction to style analysisSimple style analysis
Rolling period style analysis
Confidence intervals for style weights
User-defined functions in Module 1
Macros in Module M

Part C: Options
9 Introduction to options
Introduction to options
The genesis of the Black Scholes formula
The Black Scholes formula
Hedge portfolios
Risk-neutral valuation
A simple one-step binomial tree with risk-neutral valuation
Put-call parity
Dividends
American features
Numerical methods
Volatility and non-normal share returns
10 Binomial trees
Introduction to binomial trees
A simplified binomial tree
The Jarrow and Rudd tree
T he Cox, Ross and Rubinstein tree
Binomial approximations and Black Scholes formulaConvergence of CRR binomial trees
The Leisen and Reimer tree
Comparison of CRR and LR trees
American options and the CRR American tree
User-defined functions in Module 0 and 1
11 The Black Scholes formula
The Black Scholes formula
Black-Scholes formula in the spreadsheet
Options on currencies and commodities
Calculating the option's 'Greek' ratios
Hedge portfoliosFormal derivation of the Black Scholes formulaUser-defined functions in Module 1
12 Other numerical methods
Introduction to Monte Carlo simulation
Simulation with Antithetic variables
Simulation with quasi-random sampling
Comparing simulation methods
Calculating Greeks in MC simulation
Numerical integration
User-defined functions in Module 1
13 Non-normal distributions and implied volatility
Black Scholes using alternative distributional assumptionsImplied volatility
Adapting for skewnes s and kurtosis
The volatility smile
User-defined functions in Module 1

Part D: Bonds
14 Introduction to bonds
Spot interest rates
Term structure
Duration and convexity
Differences between bonds and equities
Analytic solutions
Binomial trees15 Short-rate models
Vasicek's term structure model Options on zero-coupon bonds (Vasicek)
Options on coupon bonds (Jamshidian)
Cox-Ingersoll-Ross (CIR) term structure model
Options on zero-coupon bonds (CIR)
Options on coupon bonds (Jamshidian)
16 Binomial trees for short-rate models
Trees with normal interest rates
Trees with Log
Normal interest rates
Options on bonds
Appendix - Other VBA functions

Rezension:

No. 4 bestseller in 'General Finance' (erivativesreview.com, December 2001)

Themen:

• Excel; Spezielle Anwendungsbereiche
• Finanzmathematik
• Optionen
• Visual BASIC für Applikationen
• Wertpapiere

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