Advanced Modelling in Finance Using Excel and VBA / Edition 1

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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.

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Editorial Reviews

From the Publisher
No. 4 bestseller in 'General Finance' (, December 2001)
From the material developed for their Computer-Based Financial Modelling graduate course at London Business School, Jackson and Staunton explain the use of the VBA functions within Excel. Their attempt to maximize Excel features with macros turned into a full- scale expedition into the VBA language suitable for highly technical and numerically demanding areas such as the valuation of financial derivatives. They assume no specialized background beyond graduate or advanced graduate training in business. No information is provided about the disk. Annotation c. Book News, Inc., Portland, OR (
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Product Details

  • ISBN-13: 9780471499220
  • Publisher: Wiley
  • Publication date: 6/28/2001
  • Series: Wiley Finance Series, #254
  • Edition description: BK&CD-ROM
  • Edition number: 1
  • Pages: 276
  • Product dimensions: 6.95 (w) x 9.80 (h) x 0.99 (d)

Meet the Author

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).

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Table of Contents





Advanced Excel Functions and Procedures.

Introduction to VBA.

Writing VBA User-Defined Functions.


Introduction to Equities.

Portfolio Optimisation.

Asset Pricing.

Performance Measurement and Attribution.


Introduction to Options on Equities.

Binomial Trees.

The Black—Scholes Formula.

Other Numerical Methods for European Options.

Non-Normal Distributions and Implied Volatility.


Introduction to Valuing Options on Bonds.

Interest Rate Models.

Matching the Term Structure.

Appendix: Other VBA Functions.


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Customer Reviews

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( 2 )
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Sort by: Showing all of 2 Customer Reviews
  • Anonymous

    Posted February 16, 2004

    A really good buch

    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.

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  • Anonymous

    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.

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