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9780471499220

Advanced Modelling in Finance Using Excel and Vba

Advanced Modelling in Finance Using Excel and Vba
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  • Comments: Spine creases, wear to binding and pages from reading. May contain limited notes, underlining or highlighting that does affect the text. Possible ex library copy, will have the markings and stickers associated from the library. Accessories such as CD, codes, toys, may not be included.

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  • ISBN-13: 9780471499220
  • ISBN: 0471499226
  • Publication Date: 2001
  • Publisher: Wiley & Sons, Incorporated, John

AUTHOR

Jackson, Mary, Staunton, Mike

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.Jackson, Mary is the author of 'Advanced Modelling in Finance Using Excel and Vba', published 2001 under ISBN 9780471499220 and ISBN 0471499226.

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