Advanced modelling in finance using Excel and VBA by Mary Jackson and Mike Staunton

Advanced modelling in finance using Excel and VBA

Features

Cover Type: Hard Cover with 276 pages

Published by: Wiley; Har/Cdr edition May 30, 2001

Written in: English

ISBN 10 Number: 0471499226

ISBN 13 Number: 978-0471499220

Book Dimensions: 9.8 x 6.8 x 1 inches

Weighs: 2.5 pounds

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

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.

Reader Reviews
I like the style of this book. Don't let the small number of pages fool you. The authors didn't get overly wordy explaining the basics of the models (they assume the reader is already a proficient Excel user), and focus instead on explaining the key Excel functions and VBA codes in order to allow the readers to get their own model up and running in a short time. Like the other reviewer said, the authors should be congratulated for such a superb effort. Many subjects are materials not normally covered in a typical MBA curriculum (although they would in a MS program) Examples: in Chapter 13, Non-normal Distributions and Implied Volatility, the authors showed the way to model a Black & Scholes Equity Option using the more realistic non-normal distribution assumptions acounting for skewness and kurtosis (non-symetry and fat tails). In the Appendix, author introduced the ARIMA models in Excel (modeled typically with statistical or time-series software packages, such as SAS or SPSS), splines curve fitting and lastly estimation of eigenvalues and eigenvectors (for estimation of principal components analysis). You will find the Excel/VBA codes bundled in the CD handy for those who wish to develop more advanced models. This book is a godsend for busy practitioners who want to master quickly the art and science of building numerical techniques and coding models with Excel. Feel free to email me if you need to know any details from the book. P.S. book divided into four components Part ONE: Advanded Modelling in Excel (teaches the advanced Excel functions and procedures, VBA macros and user-defined functions) Part TWO: Equities Part THREE: Options on Equities Part FOUR: Options on Bonds Appendix: Other VBA functions Comment | | (Report this)

List Price: $125.00
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Updated on 6-4-2008.