MARC details
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09841nam a22002537a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20220314121827.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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220314b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780471499220 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.015118 |
| Item number |
JAC |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Jackson, Mary |
| 245 ## - TITLE STATEMENT |
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| Title |
Advanced modelling in finance using excel and VBA |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Name of publisher, distributor, etc. |
John Wiley & Sons, Ltd. |
| Place of publication, distribution, etc. |
West Sussex |
| Date of publication, distribution, etc. |
2001 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
x, 263 p. |
| 365 ## - TRADE PRICE |
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| Price type code |
USD |
| Price amount |
143.00 |
| 490 ## - SERIES STATEMENT |
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| Series statement |
Wiley finance series |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc. note |
TABLE OF CONTENTS<br/>Preface xi<br/><br/>Acknowledgements xii<br/><br/>1 Introduction 1<br/><br/>1.1 Finance insights 1<br/><br/>1.2 Asset price assumptions 2<br/><br/>1.3 Mathematical and statistical problems 2<br/><br/>1.4 Numerical methods 2<br/><br/>1.5 Excel solutions 3<br/><br/>1.6 Topics covered 3<br/><br/>1.7 Related Excel workbooks 5<br/><br/>1.8 Comments and suggestions 5<br/><br/>Part One Advanced Modelling in Excel 7<br/><br/>2 Advanced Excel functions and procedures 9<br/><br/>2.1 Accessing functions in Excel 9<br/><br/>2.2 Mathematical functions 10<br/><br/>2.3 Statistical functions 12<br/><br/>2.3.1 Using the frequency function 12<br/><br/>2.3.2 Using the quartile function 14<br/><br/>2.3.3 Using Excel’s normal functions 15<br/><br/>2.4 Lookup functions 16<br/><br/>2.5 Other functions 18<br/><br/>2.6 Auditing tools 19<br/><br/>2.7 Data Tables 20<br/><br/>2.7.1 Setting up Data Tables with one input 20<br/><br/>2.7.2 Setting up Data Tables with two inputs 22<br/><br/>2.8 XY charts 23<br/><br/>2.9 Access to Data Analysis and Solver 26<br/><br/>2.10 Using range names 27<br/><br/>2.11 Regression 28<br/><br/>2.12 Goal Seek 31<br/><br/>2.13 Matrix algebra and related functions 33<br/><br/>2.13.1 Introduction to matrices 33<br/><br/>2.13.2 Transposing a matrix 33<br/><br/>2.13.3 Adding matrices 34<br/><br/>2.13.4 Multiplying matrices 34<br/><br/>2.13.5 Matrix inversion 35<br/><br/>2.13.6 Solving systems of simultaneous linear equations 36<br/><br/>2.13.7 Summary of Excel’s matrix functions 37<br/><br/>Summary 37<br/><br/>3 Introduction to VBA 39<br/><br/>3.1 Advantages of mastering VBA 39<br/><br/>3.2 Object-oriented aspects of VBA 40<br/><br/>3.3 Starting to write VBA macros 42<br/><br/>3.3.1 Some simple examples of VBA subroutines 42<br/><br/>3.3.2 MsgBox for interaction 43<br/><br/>3.3.3 The writing environment 44<br/><br/>3.3.4 Entering code and executing macros 44<br/><br/>3.3.5 Recording keystrokes and editing code 45<br/><br/>3.4 Elements of programming 47<br/><br/>3.4.1 Variables and data types 48<br/><br/>3.4.2 VBA array variables 48<br/><br/>3.4.3 Control structures 50<br/><br/>3.4.4 Control of repeating procedures 51<br/><br/>3.4.5 Using Excel functions and VBA functions in code 52<br/><br/>3.4.6 General points on programming 53<br/><br/>3.5 Communicating between macros and the spreadsheet 53<br/><br/>3.6 Subroutine examples 56<br/><br/>3.6.1 Charts 56<br/><br/>3.6.2 Normal probability plot 59<br/><br/>3.6.3 Generating the efficient frontier with Solver 61<br/><br/>Summary 65<br/><br/>References 65<br/><br/>Appendix 3A The Visual Basic Editor 65<br/><br/>Stepping through a macro and using other debug tools 68<br/><br/>Appendix 3B Recording keystrokes in ‘relative references’ mode 69<br/><br/>4 Writing VBA user-defined functions 73<br/><br/>4.1 A simple sales commission function 73<br/><br/>4.2 Creating Commission(Sales) in the spreadsheet 74<br/><br/>4.3 Two functions with multiple inputs for valuing options 75<br/><br/>4.4 Manipulating arrays in VBA 78<br/><br/>4.5 Expected value and variance functions with array inputs 79<br/><br/>4.6 Portfolio variance function with array inputs 81<br/><br/>4.7 Functions with array output 84<br/><br/>4.8 Using Excel and VBA functions in user-defined functions 85<br/><br/>4.8.1 Using VBA functions in user-defined functions 85<br/><br/>4.8.2 Add-ins 86<br/><br/>4.9 Pros and cons of developing VBA functions 86<br/><br/>Summary 87<br/><br/>Appendix 4A Functions illustrating array handling 88<br/><br/>Appendix 4B Binomial tree option valuation functions 89<br/><br/>Exercises on writing functions 94<br/><br/>Solution notes for exercises on functions 95<br/><br/>Part Two Equities 99<br/><br/>5 Introduction to equities 101<br/><br/>6 Portfolio optimisation 103<br/><br/>6.1 Portfolio mean and variance 103<br/><br/>6.2 Risk–return representation of portfolios 105<br/><br/>6.3 Using Solver to find efficient points 106<br/><br/>6.4 Generating the efficient frontier (Huang and Litzenberger’s approach) 109<br/><br/>6.5 Constrained frontier portfolios 111<br/><br/>6.6 Combining risk-free and risky assets 113<br/><br/>6.7 Problem One–combining a risk-free asset with a risky asset 114<br/><br/>6.8 Problem Two–combining two risky assets 115<br/><br/>6.9 Problem Three–combining a risk-free asset with a risky portfolio 117<br/><br/>6.10 User-defined functions in Module1 119<br/><br/>6.11 Functions for the three generic portfolio problems in Module1 120<br/><br/>6.12 Macros in ModuleM 121<br/><br/>Summary 123<br/><br/>References 123<br/><br/>7 Asset pricing 125<br/><br/>7.1 The single-index model 125<br/><br/>7.2 Estimating beta coefficients 126<br/><br/>7.3 The capital asset pricing model 129<br/><br/>7.4 Variance–covariance matrices 130<br/><br/>7.5 Value-at-Risk 131<br/><br/>7.6 Horizon wealth 134<br/><br/>7.7 Moments of related distributions such as normal and lognormal 136<br/><br/>7.8 User-defined functions in Module1 136<br/><br/>Summary 138<br/><br/>References 138<br/><br/>8 Performance measurement and attribution 139<br/><br/>8.1 Conventional performance measurement 140<br/><br/>8.2 Active–passive management 141<br/><br/>8.3 Introduction to style analysis 144<br/><br/>8.4 Simple style analysis 145<br/><br/>8.5 Rolling-period style analysis 146<br/><br/>8.6 Confidence intervals for style weights 148<br/><br/>8.7 User-defined functions in Module1 151<br/><br/>8.8 Macros in ModuleM 151<br/><br/>Summary 152<br/><br/>References 153<br/><br/>Part Three Options on Equities 155<br/><br/>9 Introduction to options on equities 157<br/><br/>9.1 The genesis of the Black–Scholes formula 158<br/><br/>9.2 The Black–Scholes formula 158<br/><br/>9.3 Hedge portfolios 159<br/><br/>9.4 Risk-neutral valuation 161<br/><br/>9.5 A simple one-step binomial tree with risk-neutral valuation 162<br/><br/>9.6 Put–call parity 163<br/><br/>9.7 Dividends 163<br/><br/>9.8 American features 164<br/><br/>9.9 Numerical methods 164<br/><br/>9.10 Volatility and non-normal share returns 165<br/><br/>Summary 165<br/><br/>References 166<br/><br/>10 Binomial trees 167<br/><br/>10.1 Introduction to binomial trees 167<br/><br/>10.2 A simplified binomial tree 168<br/><br/>10.3 The Jarrow and Rudd binomial tree 170<br/><br/>10.4 The Cox, Ross and Rubinstein tree 173<br/><br/>10.5 Binomial approximations and Black–Scholes formula 175<br/><br/>10.6 Convergence of CRR binomial trees 176<br/><br/>10.7 The Leisen and Reimer tree 177<br/><br/>10.8 Comparison of CRR and LR trees 178<br/><br/>10.9 American options and the CRR American tree 180<br/><br/>10.10 User-defined functions in Module0 and Module1 182<br/><br/>Summary 183<br/><br/>References 184<br/><br/>11 The Black–Scholes formula 185<br/><br/>11.1 The Black–Scholes formula 185<br/><br/>11.2 Black–Scholes formula in the spreadsheet 186<br/><br/>11.3 Options on currencies and commodities 187<br/><br/>11.4 Calculating the option’s ‘greek’ parameters 189<br/><br/>11.5 Hedge portfolios 190<br/><br/>11.6 Formal derivation of the Black–Scholes formula 192<br/><br/>11.7 User-defined functions in Module1 194<br/><br/>Summary 195<br/><br/>References 196<br/><br/>12 Other numerical methods for European options 197<br/><br/>12.1 Introduction to Monte Carlo simulation 197<br/><br/>12.2 Simulation with antithetic variables 199<br/><br/>12.3 Simulation with quasi-random sampling 200<br/><br/>12.4 Comparing simulation methods 202<br/><br/>12.5 Calculating greeks in Monte Carlo simulation 203<br/><br/>12.6 Numerical integration 203<br/><br/>12.7 User-defined functions in Module1 205<br/><br/>Summary 207<br/><br/>References 207<br/><br/>13 Non-normal distributions and implied volatility 209<br/><br/>13.1 Black–Scholes using alternative distributional assumptions 209<br/><br/>13.2 Implied volatility 211<br/><br/>13.3 Adapting for skewness and kurtosis 212<br/><br/>13.4 The volatility smile 215<br/><br/>13.5 User-defined functions in Module1 217<br/><br/>Summary 219<br/><br/>References 220<br/><br/>Part Four Options on Bonds 221<br/><br/>14 Introduction to valuing options on bonds 223<br/><br/>14.1 The term structure of interest rates 224<br/><br/>14.2 Cash flows for coupon bonds and yield to maturity 225<br/><br/>14.3 Binomial trees 226<br/><br/>14.4 Black’s bond option valuation formula 227<br/><br/>14.5 Duration and convexity 228<br/><br/>14.6 Notation 230<br/><br/>Summary 230<br/><br/>References 230<br/><br/>15 Interest rate models 231<br/><br/>15.1 Vasicek’s term structure model 231<br/><br/>15.2 Valuing European options on zero-coupon bonds, Vasicek’s model 234<br/><br/>15.3 Valuing European options on coupon bonds, Vasicek’s model 235<br/><br/>15.4 CIR term structure model 236<br/><br/>15.5 Valuing European options on zero-coupon bonds, CIR model 237<br/><br/>15.6 Valuing European options on coupon bonds, CIR model 238<br/><br/>15.7 User-defined functions in Module1 239<br/><br/>Summary 240<br/><br/>References 241<br/><br/>16 Matching the term structure 243<br/><br/>16.1 Trees with lognormally distributed interest rates 243<br/><br/>16.2 Trees with normal interest rates 246<br/><br/>16.3 The Black, Derman and Toy tree 247<br/><br/>16.4 Valuing bond options using BDT trees 248<br/><br/>16.5 User-defined functions in Module1 250<br/><br/>Summary 252<br/><br/>References 252<br/><br/>Appendix Other VBA functions 253<br/><br/>Forecasting 253<br/><br/>ARIMA modelling 254<br/><br/>Splines 256<br/><br/>Eigenvalues and eigenvectors 257<br/><br/>References 258<br/><br/>Index 259 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
DESCRIPTION<br/>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.<br/>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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance--Mathematical models |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Microsoft Excel (Computer file) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Microsoft Visual Basic for applications |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Visual Basic (Computer program language) |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Staunton, Mike |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |