Advanced Modelling in Finance using Excel and VBA

Advanced Modelling in Finance using Excel and VBA

Advanced modelling in finance using Excel and VBA Mary Jackson and Mike Staunton This book will appeal to both graduate students and practitioners.

Author: Mary Jackson

Publisher: John Wiley & Sons

ISBN: 9780470061664

Category: Business & Economics

Page: 276

View: 136

This new and unique book demonstrates that Excel and VBA can play an important role in the explanation and implementation of numerical methods across finance. Advanced Modelling in Finance provides a comprehensive look at equities, options on equities and options on bonds from the early 1950s to the late 1990s. The book adopts a step-by-step approach to understanding the more sophisticated aspects of Excel macros and VBA programming, showing how these programming techniques can be used to model and manipulate financial data, as applied to equities, bonds and options. The book is essential for financial practitioners who need to develop their financial modelling skill sets as there is an increase in the need to analyse and develop ever more complex 'what if' scenarios. Specifically applies Excel and VBA to the financial markets Packaged with a CD containing the software from the examples throughout the book Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Categories: Business & Economics

Principles of Financial Modelling

Principles of Financial Modelling

This book integrates theory and practice to provide a high-value resource for anyone wanting to gain a practical understanding of this complex and nuanced topic.

Author: Michael Rees

Publisher: John Wiley & Sons

ISBN: 9781118904015

Category: Business & Economics

Page: 544

View: 115

The comprehensive, broadly-applicable, real-world guide to financial modelling Principles of Financial Modelling – Model Design and Best Practices Using Excel and VBAcovers the full spectrum of financial modelling tools and techniques in order to provide practical skills that are grounded in real-world applications. Based on rigorously-tested materials created for consulting projects and for training courses, this book demonstrates how to plan, design and build financial models that are flexible, robust, transparent, and highly applicable to a wide range of planning, forecasting and decision-support contexts. This book integrates theory and practice to provide a high-value resource for anyone wanting to gain a practical understanding of this complex and nuanced topic. Highlights of its content include extensive coverage of: Model design and best practices, including the optimisation of data structures and layout, maximising transparency, balancing complexity with flexibility, dealing with circularity, model audit and error-checking Sensitivity and scenario analysis, simulation, and optimisation Data manipulation and analysis The use and choice of Excel functions and functionality, including advanced functions and those from all categories, as well as of VBA and its key areas of application within financial modelling The companion website provides approximately 235 Excel files (screen-clips of most of which are shown in the text), which demonstrate key principles in modelling, as well as providing many examples of the use of Excel functions and VBA macros. These facilitate learning and have a strong emphasis on practical solutions and direct real-world application. For practical instruction, robust technique and clear presentation, Principles of Financial Modelling is the premier guide to real-world financial modelling from the ground up. It provides clear instruction applicable across sectors, settings and countries, and is presented in a well-structured and highly-developed format that is accessible to people with different backgrounds.
Categories: Business & Economics

Credit Risk Modeling using Excel and VBA

Credit Risk Modeling using Excel and VBA

Credit risk modeling using Excel and VBA Second Edition Gunter Löffler and Peter N. Posch This book provides practitioners and students with a hands-on introduction to modern credit risk modeling.

Author: Gunter Löeffler

Publisher: John Wiley & Sons

ISBN: 9780470660928

Category: Business & Economics

Page: 358

View: 340

It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA. They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, http://loeffler-posch.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.
Categories: Business & Economics

Risk Analysis

Risk Analysis

Modelling Extreme Events for Insurance and Finance. New York, NY: Springer. ... Financial risk Brealey, R. M. and Myers, S. C. (2000). Principles of Corporate Finance, 6th edition. ... Advanced Modelling in Finance Using Excel and VBA.

Author: David Vose

Publisher: John Wiley & Sons

ISBN: 9780470512845

Category: Business & Economics

Page: 752

View: 493

Risk Analysis concerns itself with the quantification of risk, the modeling of identified risks and how to make decisions from those models. Quantitative risk analysis (QRA) using Monte Carlo simulation offers a powerful and precise method for dealing with the uncertainty and variability of a problem. By providing the building blocks the author guides the reader through the necessary steps to produce an accurate risk analysis model and offers general and specific techniques to cope with most modeling problems. A wide range of solved problems is used to illustrate these techniques and how they can be used together to solve otherwise complex problems.
Categories: Business & Economics

Financial Modeling

Financial Modeling

An Introductory Guide to Excel and VBA Applications in Finance Joachim Häcker, Dietmar Ernst ... Staunton, M. (2001) Advanced Modelling in Finance Using Excel and VBA (Chichester: Wiley) Rouah, F. D., Vainberg, G. (2007) Option Pricing ...

Author: Joachim Häcker

Publisher: Springer

ISBN: 9781137426581

Category: Business & Economics

Page: 956

View: 222

This book provides a comprehensive introduction to modern financial modeling using Excel, VBA, standards of financial modeling and model review. It offers guidance on essential modeling concepts around the four core financial activities in the modern financial industry today: financial management; corporate finance; portfolio management and financial derivatives. Written in a highly practical, market focused manner, it gives step-by-step guidance on modeling practical problems in a structured manner. Quick and interactive learning is assured due to the structure as a training course which includes applied examples that are easy to follow. All applied examples contained in the book can be reproduced step by step with the help of the Excel files. The content of this book serves as the foundation for the training course Certified Financial Modeler. In an industry that is becoming increasingly complex, financial modeling is a key skill for practitioners across all key sectors of finance and banking, where complicated problems often need to be solved quickly and clearly. This book will equip readers with the basic modeling skills required across the industry today.
Categories: Business & Economics

Professional Financial Computing Using Excel and VBA

Professional Financial Computing Using Excel and VBA

This book is designed for self-study, reference, and classroom use for graduate programs in financial engineering and computing. All Excel and VBA codes illustrated in the book are included in the enclosed CD.

Author: Humphrey K. K. Tung

Publisher: John Wiley & Sons Incorporated

ISBN: CORNELL:31924112124833

Category: Business & Economics

Page: 352

View: 825

Often financial computing guidebooks provide only quick-and-dirty implementations of financial models, rarely related to real-world applications. Professional Financial Computing Using Excel and VBA provides reusable, flexible, real-world implementations of financial models. The book explores financial models, like derivatives pricings, market and credit risk modeling, and advanced interest rate modeling. With step-by-step instructions, this resource reviews fundamental financial theories and concepts, as well as alternative approaches to ensure a comprehensive understanding of the different techniques. This text is an ideal reference for graduate students studying financial engineering and computing.
Categories: Business & Economics

Frequently Asked Questions in Quantitative Finance

Frequently Asked Questions in Quantitative Finance

Advanced Modelling in Finance Using Excel and VBA by Mary Jackson and Mike Staunton Publisher John Wiley & Sons Ltd Publication date 2001 Format Hardback + CD ISBN 9780471499220 macros and VBA programming, showing how these programming ...

Author: Paul Wilmott

Publisher: John Wiley & Sons

ISBN: 9780470685143

Category: Business & Economics

Page: 624

View: 313

Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping people control and manage their financial risks from other business and industries, no, it seems that the people are toiling away in the fields to keep the derivatives market afloat! (Apologies for the mixed metaphor!) If you work in derivatives, risk, development, trading, etc. you'd better know what you are doing, there's now a big responsibility on your shoulders. In this second edition of Frequently Asked Questions in Quantitative Finance I continue in my mission to pull quant finance up from the dumbed-down depths, and to drag it back down to earth from the super-sophisticated stratosphere. Readers of my work and blogs will know that I think both extremes are dangerous. Quant finance should inhabit the middle ground, the mathematics sweet spot, where the models are robust and understandable, and easy to mend. ...And that's what this book is about. This book contains important FAQs and answers that cover both theory and practice. There are sections on how to derive Black-Scholes (a dozen different ways!), the popular models, equations, formulae and probability distributions, critical essays, brainteasers, and the commonest quant mistakes. The quant mistakes section alone is worth trillions of dollars! I hope you enjoy this book, and that it shows you how interesting this important subject can be. And I hope you'll join me and others in this industry on the discussion forum on wilmott.com. See you there!” FAQQF2...including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers' Manifesto and lots more.
Categories: Business & Economics

Financial Applications using Excel Add in Development in C C

Financial Applications using Excel Add in Development in C   C

Mineola, NY: Dover Publications, Inc. Bullen, S., Bovey, R. and Green, S. (2005) Professional Excel Development. Boston. ... Ltd. Jackson, M. and Staunton, M. (2001) Advanced Modelling in Finance Using Excel and VBA.

Author: Steve Dalton

Publisher: John Wiley & Sons

ISBN: 0470319046

Category: Business & Economics

Page: 584

View: 355

Financial Applications using Excel Add-in Development in C/C++ is a must-buy book for any serious Excel developer.Excel is the industry standard for financial modelling, providing a number of ways for users to extend the functionality of their own add-ins, including VBA and C/C++. This is the only complete how-to guide and reference book for the creation of high performance add-ins for Excel in C and C++ for users in the finance industry. Steve Dalton explains how to apply Excel add-ins to financial applications with many examples given throughout the book. It also covers the relative strengths and weaknesses of developing add-ins for Excel in VBA versus C/C++, and provides comprehensive code, workbooks and example projects on the accompanying CD-ROM. The impact of Excel 2007’s multi-threaded workbook calculations and large grids on add-in development are fully explored. Financial Applications using Excel Add-in Development in C/C++ features: Extensive example codes in VBA, C and C++, explaining all the ways in which a developer can achieve their objectives. Example projects that demonstrate, from start to finish, the potential of Excel when powerful add-ins can be easily developed. Develops the readers understanding of the relative strengths and weaknesses of developing add-ins for Excel in VBA versus C/C++. A CD-ROM with several thousand lines of example code, numerous workbooks, and a number of complete example projects.
Categories: Business & Economics

Financial Products

Financial Products

The early part of the book is more descriptive, with concreteexamples; later sections involve moreadvanced mathematical ideas. The book focuses mainly on credit ... For Excel: Advanced Modelling in Finance using Excel and VBA, Mary Jackson.

Author: Bill Dalton

Publisher: Cambridge University Press

ISBN: 1139474057

Category: Business & Economics

Page: 408

View: 490

Financial Products provides a step-by-step guide to some of the most important ideas in financial mathematics. It describes and explains interest rates, discounting, arbitrage, risk neutral probabilities, forward contracts, futures, bonds, FRA and swaps. It shows how to construct both elementary and complex (Libor) zero curves. Options are described, illustrated and then priced using the Black Scholes formula and binomial trees. Finally, there is a chapter describing default probabilities, credit ratings and credit derivatives (CDS, TRS, CSO and CDO). An important feature of the book is that it explains this range of concepts and techniques in a way that can be understood by those with only a basic understanding of algebra. Many of the calculations are illustrated using Excel spreadsheets, as are some of the more complex algebraic processes. This accessible approach makes it an ideal introduction to financial products for undergraduates and those studying for professional financial qualifications.
Categories: Business & Economics

Financial Modeling Using Excel and VBA

Financial Modeling Using Excel and VBA

Praise for Financial Modeling Using Excel and VBA "Excel and VBA have vast capabilities, yet until this book, users were on their own to figure out just how to use these tools for both single and complex financial problems.

Author: Chandan Sengupta

Publisher: John Wiley & Sons

ISBN: 9780471651093

Category: Business & Economics

Page: 464

View: 614

Comprehensive instruction on developing real-world financialmodels This book, designed for self-study, classroom use, and reference,presents a com-prehensive approach to developing simple tosophisticated financial models in all major areas of finance. Theapproach is based on the author's 20 years of experience ofdeveloping such models in the business world and teaching a popularMBA class in financial modeling. The book assumes only basicknowledge of Excel and teaches all advanced features of Excel andVBA from scratch using a unique simple method. A companion CDincludes all working versions of all the models presented in thebook and additional useful reference material. Chandan Sengupta (White Plains, NY) teaches finance in the MBAprogram at Fordham University's Graduate School of Business.Formerly, he was vice president of the Chase Manhattan Bank foreight years and senior financial advisor for Mobil Corporation for10 years. He is also the author of The Only Proven Road toInvestment Success (0-471-44307-7).
Categories: Business & Economics