Publisher description for Advanced modelling in finance using Excel and VBA / Mary Jackson and Mike Staunton.
Bibliographic record and links to related information available from the Library of Congress catalog
Information from electronic data provided by the publisher. May be incomplete or contain other coding.
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
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:
an improved binomial tree (Leisen and Reimer)
Quasi Monte Carlo simulation
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