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Advanced modelling in finance using Excel and VBA

Advanced modelling in finance using Excel and VBA (Loan 15 times)

Material type
단행본
Personal Author
Jackson, Mary, 1936-. Staunton, Mike.
Title Statement
Advanced modelling in finance using Excel and VBA / Mary Jackson and Mike Staunton.
Publication, Distribution, etc
New York :   Wiley,   c2001.  
Physical Medium
x, 263 p. : ill. ; 25 cm.+ 1 computer optical disc (4 3/4 in.).
Series Statement
Wiley finance series
ISBN
0471499226 (alk. paper)
General Note
Disc contains spreadsheets, VBA functions, and macros used throughout the text.  
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Finance -- Mathematical models.
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020 ▼a 0471499226 (alk. paper)
040 ▼a DLC ▼c DLC ▼d UKM ▼d C#P ▼d 211009
049 1 ▼l 111200018
050 0 0 ▼a HG173 ▼b .J24 2001
082 0 0 ▼a 332/.01/5118 ▼2 23
084 ▼a 332.015118 ▼2 DDCK
090 ▼a 332.015118 ▼b J13a
100 1 ▼a Jackson, Mary, ▼d 1936-.
245 1 0 ▼a Advanced modelling in finance using Excel and VBA / ▼c Mary Jackson and Mike Staunton.
260 ▼a New York : ▼b Wiley, ▼c c2001.
300 ▼a x, 263 p. : ▼b ill. ; ▼c 25 cm.+ ▼e 1 computer optical disc (4 3/4 in.).
490 1 ▼a Wiley finance series
500 ▼a Disc contains spreadsheets, VBA functions, and macros used throughout the text.
504 ▼a Includes bibliographical references and index.
630 0 0 ▼a Microsoft Excel for Windows.
630 0 0 ▼a Microsoft Visual Basic for applications.
650 0 ▼a Finance ▼x Mathematical models.
700 1 ▼a Staunton, Mike.
830 0 ▼a Wiley finance series.

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No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.015118 J13a Accession No. 111200018 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.015118 J13a Accession No. 121224017 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.015118 J13a Accession No. 151179853 Availability Available Due Date Make a Reservation Service

Contents information

Author Introduction

mary Jackson(지은이)

Mike Staunton(지은이)

Information Provided By: : Aladin

Table of Contents


CONTENTS
Preface = xi
Acknowledgements = xii
1 Introduction = 1
 1.1 Finance insights = 1
 1.2 Asset price assumptions = 2
 1.3 Mathematical and statistical problems = 2
 1.4 Numerical methods = 2
 1.5 Excel solutions = 3
 1.6 Topics covered = 3
 1.7 Related Excel workbooks = 5
 1.8 Comments and suggestions = 5
Part One Advanced Modelling in Excel = 7
 2 Advanced Excel functions and procedures = 9
  2.1 Accessing functions in Excel = 9
  2.2 Mathematical functions = 10
  2.3 Statistical functions = 12
   2.3.1 Using the frequency function = 12
   2.3.2 Using the quartile function = 14
   2.3.3 Using Excel's normal functions = 15
  2.4 Lookup functions = 16
  2.5 Other functions = 18
  2.6 Auditing tools = 19
  2.7 Data Tables = 20
   2.7.1 Setting up Data Tables with one input = 20
   2.7.2 Setting up Data Tables with two inputs = 22
  2.8 XY charts = 23
  2.9 Access to Data Analysis and Solver = 26
  2.10 Using range names = 27
  2.11 Regression = 28
  2.12 Goal Seek = 31
  2.13 Matrix algebra and related functions = 33
   2.13.1 Introduction to matrices = 33
   2.13.2 Transposing a matrix = 33
   2.13.3 Adding matrices = 34
   2.13.4 Multiplying matrices = 34
   2.13.5 Matrix inversion = 35
   2.13.6 Solving systems of simultaneous linear equations = 36
   2.13.7 Summary of Excel's matrix functions = 37
  Summary = 37
 3 Introduction to VBA = 39
  3.1 Advantages of mastering VBA = 39
  3.2 Object-oriented aspects of VBA = 40
  3.3 Starting to write VBA macros = 42
   3.3.1 Some simple examples of VBA subroutines = 42
   3.3.2 MsgBox for interaction = 43
   3.3.3 The writing environment = 44
   3.3.4 Entering code and executing macros = 44
   3.3.5 Recording keystrokes and editing code = 45
  3.4 Elements of programming = 47
   3.4.1 Variables and data types = 48
   3.4.2 VBA array variables = 48
   3.4.3 Control structures = 50
   3.4.4 Control of repeating procedures = 51
   3.4.5 Using Excel functions and VBA functions in code = 52
   3.4.6 General points on programming = 53
  3.5 Communicating between macros and the spreadsheet = 53
  3.6 Subroutine examples = 56
   3.6.1 Charts = 56
   3.6.2 Normal probability plot = 59
   3.6.3 Generating the efficient frontier with Solver = 61
  Summary = 65
  References = 65
  Appendix 3A The Visual Basic Editor = 65
   Stepping through a macro and using other debug tools = 68
  Appendix 3B Recording keystrokes in 'relative references' mode = 69
 4 Writing VBA user-defined functions = 73
  4.1 A simple sales commission function = 73
  4.2 Creating Commission(Sales) in the spreadsheet = 74
  4.3 Two functions with multiple inputs for valuing options = 75
  4.4 Manipulating arrays in VBA = 78
  4.5 Expected value and variance functions with array inputs = 79
  4.6 Portfolio variance function with array inputs = 81
  4.7 Functions with array output = 84
  4.8 Using Excel and VBA functions in user-defined functions = 85
   4.8.1 Using VBA functions in user-defined functions = 85
   4.8.2 Add-ins = 86
  4.9 Pros and cons of developing VBA functions = 86
  Summary = 87
  Appendix 4A Functions illustrating array handling = 88
  Appendix 4B Binomial tree option valuation functions = 89
  Exercises on writing functions = 94
  Solution notes for exercises on functions = 95
Part Two Equities = 99
 5 Introduction to equities = 101
 6 Portfolio optimisation = 103
  6.1 Portfolio mean and variance = 103
  6.2 Risk-return representation of portfolios = 105
  6.3 Using Solver to find efficient points = 106
  6.4 Generating the efficient frontier(Huang and Litzenberger's approach) = 109
  6.5 Constrained frontier portfolios = 111
  6.6 Combining risk-free and risky assets = 113
  6.7 Problem One-combining a risk-free asset with a risky asset = 114
  6.8 Problem Two-combining two risky assets = 115
  6.9 Problem Three-combining a risk-free asset with a risky portfolio = 117
  6.10 User-defined functions in Module l = 119
  6.11 Functions for the three generic portfolio problems in Module l = 120
  6.12 Macros in ModuleM = 121
  Summary = 123
  References = 123
 7 Asset pricing = 125
  7.1 The single - index model = 125
  7.2 Estimating beta coefficients = 126
  7.3 The capital asset pricing model = 129
  7.4 Variance-covariance matrices = 130
  7.5 Value-at-Risk = 131
  7.6 Horizon wealth = 134
  7.7 Moments of related distributions such as normal and lognormal = 136
  7.8 User-defined functions in Module 1 = 136
  Summary = 138
  References = 138
 8 Performance measurement and attribution = 139
  8.1 Conventional performance measurement = 140
  8.2 Active-passive management = 141
  8.3 Introduction to style analysis = 144
  8.4 Simple style analysis = 145
  8.5 Rolling-period style analysis = 146
  8.6 Confidence intervals for style weights = 148
  8.7 User-defined functions in Module l = 151
  8.8 Macros in ModuleM = 151
  Summary = 152
  References = 153
Part Three Options on Equities = 155
 9 Introduction to options on equities = 157
  9.1 The genesis of the Black-Scholes formula = 158
  9.2 The Black-Scholes formula = 158
  9.3 Hedge portfolios = 159
  9.4 Risk-neutral valuation = 161
  9.5 A simple one-step binomial tree with risk-neutral valuation = 162
  9.6 Put-call parity = 163
  9.7 Dividends = 163
  9.8 American features = 164
  9.9 Numerical methods = 164
  9.10 Volatility and non-normal share returns = 165
  Summary = 165
  References = 166
 10 Binomial trees = 167
  10.1 Introduction to binomial trees = 167
  10.2 A simplified binomial tree = 168
  10.3 The Jarrow and Rudd binomial tree = 170
  10.4 The Cox, Ross and Rubinstein tree = 173
  10.5 Binomial approximations and Black-Scholes formula = 175
  10.6 Convergence of CRR binomial trees = 176
  10.7 The Leisen and Reimer tree = 177
  10.8 Comparison of CRR and LR trees = 178
  10.9 American options and the CRR American tree = 180
  10.10 User-defined functions in ModuleO and Module l = 182
  Summary = 183
  References = 184
 11 The Black-Scholes formula = 185
  11.1 The Black-Scholes formula = 185
  11.2 Black-Scholes formula in the spreadsheet = 186
  11.3 Options on currencies and commodities = 187
  11.4 Calculating the option's 'greek' parameters = 189
  11.5 Hedge portfolios = 190
  11.6 Formal derivation of the Black-Scholes formula = 192
  11.7 User-defined functions in Module l = 194
  Summary = 195
  References = 196
 12 Other numerical methods for European options = 197
  12.1 Introduction to Monte Carlo simulation = 197
  12.2 Simulation with antithetic variables = 199
  12.3 Simulation with quasi-random sampling = 200
  12.4 Comparing simulation methods = 202
  12.5 Calculating greeks in Monte Carlo simulation = 203
  12.6 Numerical integration = 203
  12.7 User-defined functions in Module l = 205
  Summary = 207
  References = 207
 13 Non-normal distributions and implied volatility = 209
  13.1 Black-Scholes using alternative distributional assumptions = 209
  13.2 Implied volatility = 211
  13.3 Adapting for skewness and kurtosis = 212
  13.4 The volatility smile = 215
  13.5 User-defined functions in Module l = 217
  Summary = 219
  References = 220
Part Four Options on Bonds = 221
 14 Introduction to valuing options on bonds = 223
  14.1 The term structure of interest rates = 224
  14.2 Cash flows for coupon bonds and yield to maturity = 225
  14.3 Binomial trees = 226
  14.4 Black's bond option valuation formula = 227
  14.5 Duration and convexity = 228
  14.6 Notation = 230
  Summary = 230
  References = 230
 15 Interest rate models = 231
  15.1 Vasicek's term structure model = 231
  15.2 Valuing European options on zero-coupon bonds, Vasicek's model = 234
  15.3 Valuing European options on coupon bonds, Vasicek's model = 235
  15.4 CIR term structure model = 236
  15.5 Valuing European options on zero-coupon bonds, CIR model = 237
  15.6 Valuing European options on coupon bonds, CIR model = 238
  15.7 User-defined functions in Module l = 239
  Summary = 240
  References = 241
 16 Matching the term structure = 243
  16.1 Trees with lognormally distributed interest rates = 243
  16.2 Trees with normal interest rates = 246
  16.3 The Black, Derman and Toye tree = 247
  16.4 Valuing bond options using BDT trees = 248
  16.5 User-defined functions in Module l = 250
  Summary = 252
  References = 252
Appendix Other VBA functions = 253
 Forecasting = 253
 ARIMA modelling = 254
 Splines = 256
 Eigenvalues and eigenvectors = 257
 References = 258
Index = 259


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