000 | 02705nam a2200289Ia 4500 | ||
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008 | 230305s2001 xx 000 0 und d | ||
020 | _a9780471499220 | ||
040 | _cTBS | ||
041 | _aeng | ||
100 |
_aJackson, Mary _9902 _eauthor |
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245 | 0 |
_aAdvanced modelling in finance using Excel and VBA _c/ Mary Jackson. |
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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) _9898 |
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650 |
_aMicrosoft Visual Basic for applications _9899 |
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650 | 0 |
_aFinance _xMathematical models _9900 |
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650 | 0 |
_aFinance _93911 |
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700 |
_aStaunton, Mike _eauthor _9901 |
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902 | _a652 | ||
905 | _am | ||
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_c132 _d132 |