Advanced Modelling in Finance Using Excel and VBA

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.