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040 _cTBS
041 _aeng
100 _aJackson, Mary
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_eauthor
245 0 _aAdvanced modelling in finance using Excel and VBA
_c/ Mary Jackson.
260 _aHoboken, New Jersey John Wiley & Sons, Inc., 2001.
300 _a263 pages ; 25 cm.
505 _aAdvanced 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.
520 _aThis 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 covered 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 and Reimer) Quasi Monte Carlo simulation volatility smiles Black, Derman and Toy trees normal interest rate trees The book is accompanied by a CD-ROM containing the spreadsheets, VBA functions and macros used throughout the work.
526 _aM1CO Audit and Controlling: Advanced Corporate Finance | MSc Sustainable Financial Management and Control with Data Analytics
650 _aMicrosoft Excel (Computer file)
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650 _aMicrosoft Visual Basic for applications
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650 0 _aFinance
_xMathematical models
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650 0 _aFinance
_93911
700 _aStaunton, Mike
_eauthor
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902 _a652
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