This 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.
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