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Advanced modelling in finance using Excel and VBA
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Advanced modelling in finance using Excel and VBA Hardcover - 2001

by Mary Jackson, Mike Staunton

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Wiley. Used - Like New. Like New condition. Very Good dust jacket. With CD! A near perfect copy that may have very minor cosmetic defects.
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Details

  • Title Advanced modelling in finance using Excel and VBA
  • Author Mary Jackson, Mike Staunton
  • Binding Hardcover
  • Edition Har/Cdr
  • Condition New
  • Pages 288
  • Volumes 1
  • Language ENG
  • Publisher Wiley, USA
  • Date 2001-06-08
  • Features Dust Cover, Index, Table of Contents
  • Bookseller's Inventory # Q07P-01210
  • ISBN 9780471499220 / 0471499226
  • Weight 1.51 lbs (0.68 kg)
  • Dimensions 10.27 x 6.65 x 0.94 in (26.09 x 16.89 x 2.39 cm)
  • Library of Congress subjects Finance - Mathematical models
  • Library of Congress Catalog Number 00069327
  • Dewey Decimal Code 332.015

From the publisher

Dieses neue und einzigartige Buch macht deutlich, da Excel und VBA (Visual Basic fr Applikationen) eine wichtige Rolle in der Finanzwelt spielen bei der Erluterung und Implementierung numerischer Methoden. "Advanced Modelling in Finance" behandelt detailliert Aktien, Aktienoptionen und Rentenoptionen der frhen 50er bis in die spten 90er Jahre. Dabei fhren die Autoren schrittweise ein die komplexeren Aspekte der Excel- und VBA-Programmierung und erlutern, wie diese Programmierungsverfahren bei Aktien, Renten und Optionen zur Modellierung oder Manipulierung von Finanzdaten eingesetzt werden knnen. In der modernen Finanzwelt gewinnen Analysen und die Entwicklung von immer komplexeren "was wre wenn"-Szenarios immer mehr an Bedeutung. Deshalb ist dieses Buch die ideale Lektre fr Finanzexperten, die ihre Fertigkeiten im Bereich finanzwirtschaftliche Modellbildung verbessern mssen. Es liefert das ntige Know-How und Praxiswissen. Die beigefgte CD-ROM, enthlt die komplette Software fr die besprochenen Beispiele.

First line

The purpose of this chapter is to review certain Excel functions and procedures used in text.

From the rear cover

Advanced modelling in finance using Excel and VBA

Mary Jackson and Mike Staunton

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 rovered 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 & Reimer)
  • quasi Monte Carlo simulation
  • volatility smiles
  • Black, Derman & Toy trees
  • normal interest rate trees

Categories

Media reviews

Citations

  • Reference and Research Bk News, 11/01/2001, Page 113

About the author

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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