Publisher description for Advanced modelling in finance using Excel and VBA / Mary Jackson and Mike Staunton.


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Counter 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.

Library of Congress subject headings for this publication: Finance Mathematical models, Microsoft Excel (Computer file)Microsoft Visual Basic for applications