Advanced Modelling in Finance using Excel and VBA

Author: Mary Jackson,Mike Staunton

Publisher: John Wiley & Sons

ISBN: 0470061669

Category: Business & Economics

Page: 276

View: 9912

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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.

Financial Modeling Using Excel and VBA

Author: Chandan Sengupta

Publisher: John Wiley & Sons

ISBN: 9780471267683

Category: Business & Economics

Page: 857

View: 1645

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"Reviews all the necessary financial theory and concepts, and walks you through a wide range of real-world financial models" - cover.

Financial Modeling

Author: Sebastian Prexl,Michael Bloss,Dietmar Ernst,Christoph Haas,Joachim Häcker,Bernhard Röck

Publisher: N.A

ISBN: 9783791035413

Category:

Page: 640

View: 331

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Risk Analysis

A Quantitative Guide

Author: David Vose

Publisher: John Wiley & Sons

ISBN: 0470512849

Category: Business & Economics

Page: 752

View: 8215

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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.

Financial Modelling in Practice

A Concise Guide for Intermediate and Advanced Level

Author: Michael Rees

Publisher: John Wiley & Sons

ISBN: 9781119995203

Category: Business & Economics

Page: 288

View: 881

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Financial Modelling in Practice: A Concise Guide for Intermediate and Advanced Level is a practical, comprehensive and in-depth guide to financial modelling designed to cover the modelling issues that are relevant to facilitate the construction of robust and readily understandable models. Based on the authors extensive experience of building models in business and finance, and of training others how to do so this book starts with a review of Excel functions that are generally most relevant for building intermediate and advanced level models (such as Lookup functions, database and statistical functions and so on). It then discusses the principles involved in designing, structuring and building relevant, accurate and readily understandable models (including the use of sensitivity analysis techniques) before covering key application areas, such as the modelling of financial statements, of cash flow valuation, risk analysis, options and real options. Finally, the topic of financial modelling using VBA is treated. Practical examples are used throughout and model examples are included in the attached CD-ROM. Aimed at intermediate and advanced level modellers in Excel who wish to extend and consolidate their knowledge, this book is focused, practical, and application-driven, facilitating knowledge to build or audit a much wider range of financial models. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Principles of Financial Modelling

Model Design and Best Practices Using Excel and VBA

Author: Michael Rees

Publisher: John Wiley & Sons

ISBN: 1118904001

Category: Business & Economics

Page: 544

View: 2769

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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.

Finanzmarktstatistik

Author: Friedrich Schmid,Mark Matthias Trede

Publisher: Springer-Verlag

ISBN: 3540297952

Category: Business & Economics

Page: 267

View: 9962

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Dieses Buch gibt eine Einführung in die wichtigsten Verfahren der statistischen Analyse von Finanzmarktdaten wie beispielsweise Kursen oder Renditen von Aktien oder Aktienindizes. Unter den Themen sind die Deskription und Analyse von uni- und multivariaten Renditeverteilungen, die Analyse der Struktur von Renditezeitreihen sowie statistische Verfahren für das CAPM und die Untersuchung der stochastischen Dominanz. Das Buch richtet sich an Studierende der Wirtschaftswissenschaften im Hauptstudium, aber auch an Praktiker in Banken und Versicherungen. Es ist sehr gut zum Selbststudium geeignet. Kenntnisse der Mathematik und Statistik werden nur soweit vorausgesetzt, wie sie im wirtschaftswissenschaftlichen Grundstudium vermittelt werden.

Credit Risk Modeling Using Excel and VBA

Author: Gunter Löeffler,Mr Peter N Posch

Publisher: John Wiley & Sons

ISBN: 0470660929

Category: Business & Economics

Page: 342

View: 8837

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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.

Autokorrelationen in der historischen Simulation

Analyse der autokorrelationsarmen Abbildung von Zinsänderungsrisiken

Author: Noel Boka

Publisher: Springer-Verlag

ISBN: 3658211083

Category: Business & Economics

Page: 113

View: 316

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Ausgehend von der Definition und Vorstellung barwertiger Konzepte der Zinsrisikomessung führt Noel Boka durch die Problematik von Autokorrelationen in der historischen Simulation. Nach der Verknüpfung der grundlegenden statistischen Eigenschaften mit der praktischen Anwendung folgt eine umfassende empirische Analyse zu den verschiedenen Ausprägungen und Einflussfaktoren. So kann zusammengefasst werden, dass die Differenzenmethode eine ausreichende Prognosegüte gewährleistet. Für niveauunabhängige Verfahren kann hingegen ein Kausalzusammenhang aus geminderter Prognosegüte und Autokorrelationen festgestellt werden.

An Introduction to Capital Markets

Products, Strategies, Participants

Author: Andrew M. Chisholm

Publisher: John Wiley & Sons

ISBN: 0470851341

Category: Business & Economics

Page: 464

View: 4434

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This book provides a comprehensive introduction to the global capital markets, explaining the key instruments used in the markets and their practical applications. Containing numerous illustrations and examples it explains how each product or instrument is structured, how it is used in practice, what the principle risks are and how these are monitored and controlled. An Introduction to Capital Markets is an ideal resource for those wanting to understand how the global capital markets operate.

Hedge Fund Modelling and Analysis Using Excel and VBA

Author: Paul Darbyshire,David Hampton

Publisher: John Wiley & Sons

ISBN: 111994564X

Category: Business & Economics

Page: 278

View: 9458

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Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments. The book provides hands-on coverage of the visual and theoretical methods for measuring and modelling hedge fund performance with an emphasis on risk-adjusted performance metrics and techniques. A range of sophisticated risk analysis models and risk management strategies are also described in detail. Throughout, coverage is supplemented with helpful skill building exercises and worked examples in Excel and VBA. The book's dedicated website, www.darbyshirehampton.com provides Excel spreadsheets and VBA source code which can be freely downloaded and also features links to other relevant and useful resources. A comprehensive course in hedge fund modelling and analysis, this book arms you with the knowledge and tools required to effectively manage your risks and to optimise the return profile of your investment style.

Practical Portfolio Performance Measurement and Attribution

Author: Carl R. Bacon

Publisher: John Wiley & Sons

ISBN: 0470856807

Category: Business & Economics

Page: 240

View: 871

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Practical Performance Measurement and Attribution provides a clear introduction to the subject of performance measurement. Focusing more on the practical use and calculation of performance returns rather than the academic background it will help readers gain a clear understanding of the role and implications of performance measurement in today's financial environment. "Carl’s book is a ‘must have’ resource - the complete A to Z of the increasingly complex field of performance measurement." Glenn Solomon, Global Head of Institutional Clients, Investment Reporting & Performance, BNP Paribas Securities Services "Internationally renowned authority Carl Bacon has provided what one would expect – an exceptionally well written and practical resource that every investment performance measurement professional should own." David Spaulding, President, The Spaulding Group "Carl Bacon is one of the most knowledgeable professionals I know on the subject of Performance Measurement. He has been a pioneer, leader, and teacher at the forefront of developments in global investment performance standards, performance attribution technique, and risk measurement. I am very pleased he has written this timely and useful book as a complete reference and explanation update on these important subjects." James Hollis, Managing Director, Cutter Associates "Though the subject matter is complex, Carl strikes the right balance between theory and reality. This book should have a permanent spot on the desk of every performance practitioner. I will refer to it often." Karyn Vincent, CFA, Vincent Performance Services LLC "Whether you are a provider or a user of Performance Analysis, this book is well structured, informative and truly a practical guide in every sense." Gary Hilldrup, Global Head Performance, Risk & Client Reporting, Fortis Investments

Financial Engineering

Strategien, Bewertungen und Risikomanagement

Author: Michael Bloss

Publisher: Walter de Gruyter GmbH & Co KG

ISBN: 311053116X

Category: Business & Economics

Page: 674

View: 1055

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Dieses Buch zeigt einzelne Strategien, Bewertungen, das Risikocontrolling und den Financial-Engineering-Prozess auf und geht dabei explizit auf die verwendeten Derivate sowie die eingesetzten Kombinationsstrategien ein. Gegenüber der Vorauflage wurde das Augenmerk verstärkt auf die Modelle im Financial Engineering, die neuen Produktausgestaltungen und die veränderte Regulatorik gelegt.

Business Risk and Simulation Modelling in Practice

Using Excel, VBA and @RISK

Author: Michael Rees

Publisher: John Wiley & Sons

ISBN: 1118904044

Category: Business & Economics

Page: 464

View: 5340

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The complete guide to the principles and practice of risk quantification for business applications. The assessment and quantification of risk provide an indispensable part of robust decision-making; to be effective, many professionals need a firm grasp of both the fundamental concepts and of the tools of the trade. Business Risk and Simulation Modelling in Practice is a comprehensive, in–depth, and practical guide that aims to help business risk managers, modelling analysts and general management to understand, conduct and use quantitative risk assessment and uncertainty modelling in their own situations. Key content areas include: Detailed descriptions of risk assessment processes, their objectives and uses, possible approaches to risk quantification, and their associated decision-benefits and organisational challenges. Principles and techniques in the design of risk models, including the similarities and differences with traditional financial models, and the enhancements that risk modelling can provide. In depth coverage of the principles and concepts in simulation methods, the statistical measurement of risk, the use and selection of probability distributions, the creation of dependency relationships, the alignment of risk modelling activities with general risk assessment processes, and a range of Excel modelling techniques. The implementation of simulation techniques using both Excel/VBA macros and the @RISK Excel add-in. Each platform may be appropriate depending on the context, whereas the core modelling concepts and risk assessment contexts are largely the same in each case. Some additional features and key benefits of using @RISK are also covered. Business Risk and Simulation Modelling in Practice reflects the author′s many years in training and consultancy in these areas. It provides clear and complete guidance, enhanced with an expert perspective. It uses approximately one hundred practical and real-life models to demonstrate all key concepts and techniques; these are accessible on the companion website.

Building and Using Dynamic Interest Rate Models

Author: Ken O. Kortanek,Vladimir G. Medvedev

Publisher: Wiley

ISBN: 9780471495956

Category: Business & Economics

Page: 236

View: 9844

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This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.

Financial Applications using Excel Add-in Development in C / C++

Author: Steve Dalton

Publisher: John Wiley & Sons

ISBN: 9780470319048

Category: Business & Economics

Page: 584

View: 1650

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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.

Modelling Prices in Competitive Electricity Markets

Author: Derek W Bunn,Derek W. Bunn

Publisher: John Wiley & Sons Incorporated

ISBN: N.A

Category: Business & Economics

Page: 337

View: 5115

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Electricity markets are structurally different to othercommodities, and the real-time dynamic balancing of the electricitynetwork involves many external factors. Because of this, it is nota simple matter to transfer conventional models of financial timeseries analysis to wholesale electricity prices. The rationale for this compilation of chapters frominternational authors is, therefore, to provide econometricanalysis of wholesale power markets around the world, to givegreater understanding of their particular characteristics, and toassess the applicability of various methods of price modelling. Researchers and professionals in this sector will find the bookan invaluable guide to the most important state-of-the-artmodelling techniques which are converging to define the specialapproaches necessary for unravelling and forecasting the behaviourof electricity prices. It is a high-quality synthesis of the workof financial engineering, industrial economics and power systemsanalysis, as they relate to the behaviour of competitiveelectricity markets.

Upstream Petroleum Fiscal and Valuation Modeling in Excel

A Worked Examples Approach

Author: Kasriel,David Wood

Publisher: John Wiley & Sons

ISBN: 1118537696

Category: Business & Economics

Page: 376

View: 9913

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Please contact the authors at ahref="mailto:[email protected]"[email protected]/afor details of how to access the trial version of Crystal Ball, aswell as the Excel and other files which are *not* part of thee-book version download. "This is a book no deal team should be without. It is a must forthose involved in upstream oil and gas transactions, planning,budgeting, investment appraisal and portfolio management. Itsstep–by–step approach cuts through complexity, makingit comprehensive and understandable by a wide range of users with awide range of abilities. It can be used as a textbook, anintroductory primer or as a handbook that you can dip in and out ofor read cover to cover." —Michael Lynch–Bell, Senior Advisor, Oil &Gas, Ernst & Young LLP; ex-officio Chairman, UN Expert Group onResource Classification In the upstream petroleum industry, it is the value ofpost–tax cashflows which matters most to companies,governments, investors, lenders, analysts, and advisors.Calculating these cashflows and understanding their“behavior,” however, is challenging, as theindustry’s specialized fiscal systems can be complex,jargon–laden, and sometimes seem to be a “world oftheir own”. Upstream Petroleum Fiscal and Valuation Modeling in Excel: AWorked Examples Approach demystifies fiscal analysis which,unlike disciplines such as Earth sciences and engineering, can belearned from a book. Written in plain English for laymen and forexperienced practitioners alike, it is a reader–friendly,clear, practical, step–by–step hands–on guide forboth reference and self–paced study. The book does not catalogue the 100+ different petroleum fiscalregimes in use at the time of writing. Rather, drawing on theauthors’ combined 48 years’ experience, it takes a moretimeless, generic treatment, by covering the most commonvariants of royalties, taxation, production sharing arrangements,bonuses and abandonment funding , through a dual approach: first,showing how to model them in Excel , and then providinginteractive exercises to prompt (and answer) questions that analyzeimpacts on cashflows. In addition to the main text, the book consists of over 120Excel files (ranging from modular examples to full models) in Excel2007 and 2003 formats; over 400 pages of supplementary PDF files;VBA features to enhance model functionality; and an introduction torisk modeling with exercises for the included trial version ofOracle’s Crystal Ball software. It offers both a wealth ofcontent and models equal to or surpassing what is available fromfiscal modeling courses costing several times more; and greaterinsights into underlying calculations than commercially available“black box” fiscal software. New US Securities and Exchange Commission (SEC) rules plannedfor 2013 will force petroleum companies to disclose more fiscalinformation on an individual country basis. This will make it moreimportant than ever for analysts to understand how to model oil andgas terms and the potential impacts of the disclosed governmentpayments on future oil and gas company profitability. Due to the heavy use of graphics and cross references used inthis particular text, some readers might find that the printed bookoffers a more optimal reading experience than certain e-formatsparticularly with the Kindle eMobi format.

Credit derivatives pricing models

models, pricing and implementation

Author: Philipp J. Schönbucher

Publisher: John Wiley & Sons

ISBN: 9780470842911

Category: Business & Economics

Page: 375

View: 4007

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The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.