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This unique book demonstrates that Excel and VBA can play an important role in the explanation and implementation of numerical methods across finance. It takes a comprehensive look at equities, options on equities and options on bonds from the early 1950s to the late 1990s. Each area contains both standard material and more advanced topics.
All models are developed fully in both spreadsheets, bringing clarity to teaching in finance, and user-defined functions in VBA, giving a ready-made library of portable functions that can be used in Excel. The spreadsheets and VBA functions are provided on a CD-ROM.
ADVANCED MODELLING IN EXCEL.
Advanced Excel Functions and Procedures.
Introduction to VBA.
Writing VBA User-Defined Functions.
Introduction to Equities.
Performance Measurement and Attribution.
OPTIONS ON EQUITIES.
Introduction to Options on Equities.
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.
Posted February 16, 2004
The Authors have a good job of balancing Finance related stuff and programming. I am a Visual Basic programmer with interest in finance. I always wondered how to apply the excel formulaes in an application or macros. I learnt it from the examples given in this book. I mean I have some data to play with and learn. I should say that the Visual Basic code is not very complicated..but certainly very useful. And if you are new to programming, having another VBA book for reference might be helpful.Was this review helpful? Yes NoThank you for your feedback. Report this reviewThank you, this review has been flagged.
Posted July 25, 2001
A fantstic book on Excel modelling for Equities, Equity Options, and Bond Options that fills the lack of books on this topic nicely. It¿s probably best to compare it to Beninga¿s ¿Financial Modelling¿. It differs in many ways though. It¿s more compact (250 pages instead of 600), with less detailed explanations, leaves Corporate Finance completely out, and covers fewer topics but to a more advanced step. The book deserves definitely ¿advanced¿, since the equity section was developed for an MBA elective at London Business School. The parts on options and bonds compromise a course for the MSc in Mathematical Trading & Finance at City University Business School. Standard material covered: porfolio theory and efficient frontiers / the CAPM, beta and covariance matrices / performance measurement / the Black & Scholes formula / binomial trees for equity and bond options / Monte Carlo simulation / bond yield-to-maturity, duration and convexity / term structure models from Vasicek and Cox, Ingersoll and Ross. Advanced topics: value at risk / style analysis / an improved binomial tree (Leisen&Refmer) / quasi Monte Carlo simulation / volatility smiles / Black, Derman & Toy trees / normal interest rate trees.Was this review helpful? Yes NoThank you for your feedback. Report this reviewThank you, this review has been flagged.