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Advanced Modelling in Finance Using Excel and VBA

By Mary Jackson

Product Image: Advanced Modelling in Finance Using Excel and VBA

Advanced Modelling in Finance Using Excel and VBA

Only 3 items left in stock
Description
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
Product details
Binding:
Paperback
Edition:
1
Number of Pages:
288
Release Date:
2001-04-20
Publication Date:
2001-06-08
Publisher:
Wiley
Languages:
Original: English
ISBN10:
0471499226
ISBN13:
9780471499220
GPSR Manufacturer Reference:
[email protected]
Weight:
666 g
Height:
175 cm
Width:
250 cm
Thickness:
20 cm
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The items bear minimal signs of past use, such as light scratches or memories in the form of markings. These signs of wear give the items a charming character and tell stories of their previous owners, while not affecting their functionality.
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