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Advanced Modelling in Finance Using Excel and VBA: The Wiley Finance Series de M. Jackson

Advanced Modelling in Finance Using Excel and VBA: The Wiley Finance Series: The Wiley Finance Series

Autor M. Jackson
en Limba Engleză Hardback – 19 apr 2001
Dieses neue und einzigartige Buch macht deutlich, daß Excel und VBA (Visual Basic für Applikationen) eine wichtige Rolle in der Finanzwelt spielen bei der Erläuterung und Implementierung numerischer Methoden. "Advanced Modelling in Finance" behandelt detailliert Aktien, Aktienoptionen und Rentenoptionen der frühen 50er bis in die späten 90er Jahre. Dabei führen die Autoren schrittweise ein die komplexeren Aspekte der Excel- und VBA-Programmierung und erläutern, wie diese Programmierungsverfahren bei Aktien, Renten und Optionen zur Modellierung oder Manipulierung von Finanzdaten eingesetzt werden können. In der modernen Finanzwelt gewinnen Analysen und die Entwicklung von immer komplexeren "was wäre wenn"-Szenarios immer mehr an Bedeutung. Deshalb ist dieses Buch die ideale Lektüre für Finanzexperten, die ihre Fertigkeiten im Bereich finanzwirtschaftliche Modellbildung verbessern müssen. Es liefert das nötige Know-How und Praxiswissen. Die beigefügte CD-ROM, enthält die komplette Software für die besprochenen Beispiele.
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Specificații

ISBN-13: 9780471499220
ISBN-10: 0471499226
Pagini: 276
Ilustrații: illustrations
Dimensiuni: 177 x 245 x 27 mm
Greutate: 0.69 kg
Editura: Wiley
Seria The Wiley Finance Series

Locul publicării:Chichester, United Kingdom

Public țintă

Financial analysts; portfolio managers; fund managers, traders; risk managers. MBA and Masters in Finance students.

Descriere

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.

Textul de pe ultima copertă

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.

Cuprins

Preface. Acknowledgements. Introduction. 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.

Recenzii

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

Notă biografică

MARY JACKSON and MIKE STAUNTON have worked together teaching spreadsheet modelling to both graduate students and practitioners since 1985.
MARY JACKSON was Assistant Professor of Decision Sciences at London Business School. She is author of three previous books for John Wiley Sons: Understanding Expert Systems (1992), Advanced Spreadsheet Modelling (1988) and Creative Modelling (1985).
MIKE STAUNTON is Visiting Lecturer in Numerical Methods at City University Business School and Director of the London Share Price Datbase at London Business School. He is co–author, with Elroy Dimson and Paul Marsh, of Millennium Book II: 101 Years of Investment Returns (2001) and Millennium Book: A Century of Investment Returns (2000).