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Advanced Modelling in Finance Using Excel and VBA [With CDROM] Hardcover - 2001
by Jackson, Mary; Staunton, Mike
- Used
- very good
- Hardcover
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Details
- Title Advanced Modelling in Finance Using Excel and VBA [With CDROM]
- Author Jackson, Mary; Staunton, Mike
- Binding Hardcover
- Edition Har/Cdr
- Condition Used - Very Good
- Pages 288
- Volumes 1
- Language ENG
- Publisher Wiley, USA
- Date 2001
- Features Dust Cover, Index, Table of Contents
- Bookseller's Inventory # G0471499226I4N00
- 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
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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
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Media reviews
Citations
- Reference and Research Bk News, 11/01/2001, Page 113