Advanced Modelling in Finance Using Excel and VBA / Edition 1

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Overview

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.

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Editorial Reviews

From the Publisher
No. 4 bestseller in 'General Finance' (erivativesreview.com, December 2001)
Booknews
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 (booknews.com)
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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

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.

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Customer Reviews

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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

    Superb

    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  No   Report this review
Sort by: Showing all of 2 Customer Reviews

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