Professional Financial Computing Using Excel and VBA
- Length: 352 pages
- Edition: 1
- Language: English
- Publisher: Wiley
- Publication Date: 2010-06-15
- ISBN-10: 0470824395
- ISBN-13: 9780470824399
- Sales Rank: #3347488 (See Top 100 Books)
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.
Table of Contents
CHAPTER 1 Financial Engineering and Computing
CHAPTER 2 The GARCH(1,1) Model
CHAPTER 3 Finite Difference Methods
CHAPTER 4 Portfolio Mean-Variance Optimization
CHAPTER 5 Newton–Raphson Method
CHAPTER 6 Yield Curve Construction Using Cubic Spline
CHAPTER 7 Binomial Option Pricing Model
CHAPTER 8 The Black–Derman–Toy Model
CHAPTER 9 Monte Carlo Option Pricing
CHAPTER 10 Portfolio Value-at-Risk
CHAPTER 11 The Hull–White Model
CHAPTER 12 CreditMetrics Model
CHAPTER 13 KMV–Merton Model
APPENDIX A VBA Programming
APPENDIX B The Excel Object Model
APPENDIX C VBA Debugging Tools
APPENDIX D Summary of VBA Operators
APPENDIX E Summary of VBA Functions
APPENDIX F Summary of VBA Statements
APPENDIX G Excel Array Formula
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