Product Description

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.

Product Details

• Amazon Sales Rank: #209217 in Books
• Published on: 2001-04-20
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 276 pages

Review
No. 4 bestseller in ′General Finance′ (erivativesreview.com, December 2001)

Review
No. 4 bestseller in ′General Finance′ (erivativesreview.com, December 2001)

From the Author
We only use macros where VBA functions cannot be used (such as for charts and Solver). For everything else, the spreadsheets are complemented with scores of VBA user-defined functions that do everything up to and including solving for eigenvalues and option valuation using binomial trees with thousands of steps. In particular, chapter 12 uses simulation to value options and the asociated VBA user-defined functions include both antithetic-variate and quasi-random numbers (with not a macro in sight)

Customer Reviews

a reader from London
There are two things this book won't teach you one is modelling and the other VBA. One would be far better off buying John Hull's book on derivatives or something of a sort and a book on VBA with Excel separately. To understand this book well you need a prior knowledge of both Financial math and VBA/Excel but if you have that already why would you need this book on the first place? I have to admit I was misled by the previous reviews - all were very good. Finally a lot of my colleagues have the book on their desks and how new these books look as if they've never been open before, draw your own conclusion.

Superb
A fantstic book on Excel modelling for Equities, Equity Options, and Bond Options that fills the lack of books on this topic nicely.

It's probably best to compare it to Beninga's „Financial Modelling". It differs in many ways though. It's more compact (250 pages instead of 600), with less detailed explanations, leaves Corporate Finance completely out, and covers fewer topics but to a more advanced step.

The book deserves definitely „advanced", since the equity section was developed for an MBA elective at London Business School. The parts on options and bonds compromise a course for the MSc in Mathematical Trading & Finance at City University Business School.

Standard material covered: porfolio theory and efficient frontiers / the CAPM, beta and covariance matrices / performance measurement / the Black & Scholes formula / binomial trees for equity and bond options / Monte Carlo simulation / bond yield-to-maturity, duration and convexity / term structure models from Vasicek and Cox, Ingersoll and Ross.

Advanced topics: value at risk / style analysis / an improved binomial tree (Leisen&Refmer) / quasi Monte Carlo simulation / volatility smiles / Black, Derman & Toy trees / normal interest rate trees.

Very good indeed...
Excellent for those interested on Excel/VBA modelling. It's compact, clear, easy to follow and to understand. It covers all you need to know from portfolio theory to more advanced topics such as VAR, volatilities smiles and normal interest rate trees. Good spreadsheets examples and VBA functions in the CD-ROM. It's probably not so good for advanced programmers but it's an excellent book for those who want to develop their knolewdge of modelling in finance. I liked it very much...well done !