Advanced Modelling in Finance using Excel and VBA
Published on 30. August 2006
276 pages
978-0-470-06166-4 (ISBN)
Description
This new and unique book demonstrates that Excel and VBA can playan important role in the explanation and implementation ofnumerical methods across finance. Advanced Modelling in Financeprovides a comprehensive look at equities, options on equities andoptions on bonds from the early 1950s to the late 1990s.
The book adopts a step-by-step approach to understanding themore sophisticated aspects of Excel macros and VBA programming,showing how these programming techniques can be used to model andmanipulate financial data, as applied to equities, bonds andoptions. The book is essential for financial practitioners who needto develop their financial modelling skill sets as there is anincrease in the need to analyse and develop ever more complex 'whatif' scenarios.
* Specifically applies Excel and VBA to the financialmarkets
* Packaged with a CD containing the software from the examplesthroughout the book
Note: CD-ROM/DVD and other supplementary materials arenot included as part of eBook file.
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No. 4 bestseller in 'General Finance' (erivativesreview.com, December 2001)More details
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Mary Jackson | Mike Staunton
Advanced Modelling in Finance using Excel and VBA
Book
04/2001
Wiley
€132.50
Shipment within 10-20 days
Persons
MARY JACKSON and MIKE STAUNTON have worked together teachingspreadsheet modelling to both graduate students and practitionerssince 1985.
MARY JACKSON was Assistant Professor of Decision Sciences at LondonBusiness School. She is author of three previous books for JohnWiley Sons: Understanding Expert Systems (1992), AdvancedSpreadsheet Modelling (1988) and Creative Modelling (1985).
MIKE STAUNTON is Visiting Lecturer in Numerical Methods at CityUniversity Business School and Director of the London Share PriceDatbase at London Business School. He is co-author, with ElroyDimson and Paul Marsh, of Millennium Book II: 101 Years ofInvestment Returns (2001) and Millennium Book: A Century ofInvestment Returns (2000).
Content
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.
