This new and unique book demonstrates that Excel and VBA can play
an important role in the explanation and implementation of
numerical methods across finance. Advanced Modelling in Finance
provides a comprehensive look at equities, options on equities and
options on bonds from the early 1950s to the late 1990s.
The book adopts a step-by-step approach to understanding the
more sophisticated aspects of Excel macros and VBA programming,
showing how these programming techniques can be used to model and
manipulate financial data, as applied to equities, bonds and
options. The book is essential for financial practitioners who need
to develop their financial modelling skill sets as there is an
increase in the need to analyse and develop ever more complex ‘what
if’ scenarios.
* Specifically applies Excel and VBA to the financial
markets
* Packaged with a CD containing the software from the examples
throughout the book
Note: CD-ROM/DVD and other supplementary materials are
not included as part of e Book file.
Cuprins
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.
Despre autor
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 coauthor, with Elroy Dimson and Paul Marsh, of Millennium Book II: 101 Years of Investment Returns (2001) and The Millennium Book: A Century of Investment Returns (2000).
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