Professional Financial Computing Using Excel and VBA / Wiley Finance Editions (ePub)
(Sprache: Englisch)
"Professional Financial Computing Using Excel and VBA is an
admirable exposition that bridges the theoretical underpinnings of
financial engineering and its application which usually appears as
a "black-box" software application. The book opens the...
admirable exposition that bridges the theoretical underpinnings of
financial engineering and its application which usually appears as
a "black-box" software application. The book opens the...
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Produktinformationen zu „Professional Financial Computing Using Excel and VBA / Wiley Finance Editions (ePub)“
"Professional Financial Computing Using Excel and VBA is an
admirable exposition that bridges the theoretical underpinnings of
financial engineering and its application which usually appears as
a "black-box" software application. The book opens the black-box
and reveals the architecture of risk-modeling and financial
engineering based on industry-standard stochastic models by
utilizing Excel and VBA functionality to create a robust and
practical modeling tool-kit. Financial engineering professionals
who purchase this book will have a jumpstart advantage for their
customized financial engineering and modeling needs."
Dr. Cameron Wicentowich
Vice President, Treasury Analytics
Canadian Imperial Bank of Commerce (CIBC)
"Spreadsheet modeling for finance has become a standard course
in the curriculum of many Quantitative Finance programs since the
Excel-based Visual Basic programming is now widely used in
constructing optimal portfolios, pricing structured products and
managing risks. Professional Financial Computing Using Excel and
VBA is written by a unique team of finance, physics and
computer academics and practitioners. It is a good reference for
those who are studying for a Masters degree in Financial
Engineering and Risk Management. It can also be useful for
financial engineers to jump-start a project on designing structured
products, modeling interest term structure or credit risks."
Dr. Jin Zhang
Director of Master of Finance Program and Associate Professor
The University of Hong Kong
"Excel has been one of the most powerful tools for financial
planning and computing over the last few years. Most users utilize
a fraction of its capabilities. One of the reasons is the limited
availability of books that cover the advanced features of Excel for
Finance. Professional Financial Computing Using Excel and
VBA goes the extra mile and deals with the Excel tools many
professionals call for. This book is a must for professionals or
students dealing with financial engineering, financial risk
management, computational finance or mathematical finance. I loved
the way the authors covered the material using real life, hands-on
examples."
Dr. Isaac Gottlieb
Temple University
Author, Next Generation Excel: Modeling in Excel for Analysts
and MBAs
admirable exposition that bridges the theoretical underpinnings of
financial engineering and its application which usually appears as
a "black-box" software application. The book opens the black-box
and reveals the architecture of risk-modeling and financial
engineering based on industry-standard stochastic models by
utilizing Excel and VBA functionality to create a robust and
practical modeling tool-kit. Financial engineering professionals
who purchase this book will have a jumpstart advantage for their
customized financial engineering and modeling needs."
Dr. Cameron Wicentowich
Vice President, Treasury Analytics
Canadian Imperial Bank of Commerce (CIBC)
"Spreadsheet modeling for finance has become a standard course
in the curriculum of many Quantitative Finance programs since the
Excel-based Visual Basic programming is now widely used in
constructing optimal portfolios, pricing structured products and
managing risks. Professional Financial Computing Using Excel and
VBA is written by a unique team of finance, physics and
computer academics and practitioners. It is a good reference for
those who are studying for a Masters degree in Financial
Engineering and Risk Management. It can also be useful for
financial engineers to jump-start a project on designing structured
products, modeling interest term structure or credit risks."
Dr. Jin Zhang
Director of Master of Finance Program and Associate Professor
The University of Hong Kong
"Excel has been one of the most powerful tools for financial
planning and computing over the last few years. Most users utilize
a fraction of its capabilities. One of the reasons is the limited
availability of books that cover the advanced features of Excel for
Finance. Professional Financial Computing Using Excel and
VBA goes the extra mile and deals with the Excel tools many
professionals call for. This book is a must for professionals or
students dealing with financial engineering, financial risk
management, computational finance or mathematical finance. I loved
the way the authors covered the material using real life, hands-on
examples."
Dr. Isaac Gottlieb
Temple University
Author, Next Generation Excel: Modeling in Excel for Analysts
and MBAs
Inhaltsverzeichnis zu „Professional Financial Computing Using Excel and VBA / Wiley Finance Editions (ePub)“
Preface ix CHAPTER 1 Financial Engineering and Computing 1 1.1 Financial Engineering and Spreadsheet Modeling 1 1.2 Lehman Brothers' Products for Retail Investors 3 1.3 Risk Management and Basel II 4 1.4 About the Book 4 1.5. Chapter Highlights 6 1.6 Other Remarks 7 CHAPTER 2 The GARCH(1,1) Model 9 2.1. The Model 9 2.2. Excel Implementation 10 2.3. Excel Plus VBA Implementation 15 CHAPTER 3 Finite Difference Methods 21 3.1. Difference Equations 21 3.2. Excel Implementation 24 3.3. VBA Implementation 28 3.4. Crank-Nicholson Scheme 33 CHAPTER 4 Portfolio Mean-Variance Optimization 37 4.1. Portfolio Selection 37 4.2. Excel Implementation 42 4.3. Excel Plus VBA Implementation 48 CHAPTER 5 Newton-Raphson Method 59 5.1. Newton-Raphson Method for Systems of Equations 59 5.2. VBA Routine 61 CHAPTER 6 Yield Curve Construction Using Cubic Spline 67 6.1. Cubic Spline Interpolation 67 6.2. Yield Curve Construction 75 6.3. Excel Plus VBA Implementation 77 CHAPTER 7 Binomial Option Pricing Model 85 7.1. Risk-Neutral Option Pricing and the Binomial Tree 85 7.2. VBA Implementation 89 CHAPTER 8 The Black-Derman-Toy Model 95 8.1. The Term Structure Model and the Black-Derman-Toy Tree 95 8.2. Excel Plus VBA Implementation 98 CHAPTER 9 Monte Carlo Option Pricing 109 9.1. TheMonte Carlo Method 109 9.2. Risk-Neutral Valuation 112 9.3. VBA Implementation 114 9.4. Exotic Options 124 9.5. American Options 132 CHAPTER 10 Portfolio Value-at-Risk 143 10.1. Portfolio Risk Simulation 143 10.2. Monte Carlo Simulation for Multiple-Asset Portfolios 152 10.3. Historical Simulation for Multiple-Asset Portfolios 160 10.4. VBA Implementation of Portfolio Risk Simulation 164 10.5. Drill Down of Portfolio Risk 180 CHAPTER 11 The Hull-White Model 189 11.1. Hull-White Trinomial Tree 189 11.2. Excel Plus VBA Implementation 196 11.3. The General Hull-White Model 203 11.4. Implementation of the General Hull-White Model 210 CHAPTER 12 CreditMetrics Model 221 12.1. The CreditMetrics Model 221 12.2. Individual
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(Segregate) Asset Valuation Framework 221 12.3 Monte Carlo Simulation in Detail 225 12.4. Excel and VBA Implementation 227 CHAPTER 13 KMV-Merton Model 243 13.1. KMV-Merton Model of Credit Risk 243 13.2. Excel and VBA Implementation 248 APPENDIX A VBA Programming 255 A.1 Introduction 255 A.2 A Brief History of VBA 255 A.3 Essential Excel Elements for VBA 256 A.3.1 Excel Cell Reference 257 A.3.2 Excel Defined Names 261 A.3.3 Excel Worksheet Functions 264 A.4 The VBA Development Environment (VBE) 266 A.4.1 The Developer Tab in the Ribbon 266 A.4.2 The Windows of VBE 268 A.4.3 The Project Explorer 272 A.4.4 The VBA Project Structure 273 A.4.5 The Procedure to Create a VBA Subroutine 275 A.4.6 The Procedure to Create a VBA Function 278 A.5 Basic VBA Programming Concepts 280 A.5.1 Variables and Data Types 285 A.5.2 Declaration and Assignment Statements 287 A.5.3 Flow Control Statements 293 A.6 VBA Arrays 300 A.7 Using Worksheet Matrix Functions in VBA 304 A.8 Summary 311 APPENDIX B The Excel Object Model 315 APPENDIX C VBA Debugging Tools 321 APPENDIX D Summary of VBA Operators 327 APPENDIX E Summary of VBA Functions 331 APPENDIX F Summary of VBA Statements 333 APPENDIX G Excel Array Formula 341 Index 349
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Autoren-Porträt von Donny C. F. Lai, Humphrey K. K. Tung, Michael C. S. Wong, Stephen Ng
Dr. Humphrey K. K. Tung received his BSc in Physics from theUniversity of Alberta, both MSc and PhD in Theoretical Particle
Physics from the University of Toronto. He was a quantitative
analyst of C.ATS, a leading risk management software vendor in
Silicon Valley. He is now a Visiting Assistant Professor in the
Department of Economics and Finance of the City University of Hong
Kong and has taught the option pricing and implementation for
financial engineering program since 2003.
Mr. Donny Lai is proficient in information systems
development, IT project management, and applied finance. He has
worked in the IT industry for over 20 years and received his Master
Degree of Applied Finance from the University of Western Sydney,
Australia. With his profound experience in e-commerce and
e-finance, he is teaching in the department of Computer Science,
City University of Hong Kong and has taught programming, data
analysis, and spreading modeling since 2005. His current research
interests include advanced web technologies, mobile computing, and
financial computing.
Dr. Michael Wong advised more than 20 banks on market
risk management, credit risk management, Basel II credit ratings
systems and due diligence for wealth management services. He served
as a founding member of FRM Committee of Global Association of Risk
Professionals (GARP) in 1998-2002 and trained more than 6,000 chief
risk officers, senior risk managers and bank regulators in Hong
Kong, Taiwan, China, Korea, Singapore, Malaysia, and Macau. He
founded CTRISKS (www.ctrisks.com), an Asia-based credit rating
agency and risk consulting firm. Dr. Wong has published more than
50 journal articles and book chapters, and authored four
professional books. He is listed in Risk Who's Who, and awarded
both Teaching Excellence Award and Best Doctoral Dissertation
Award.
Stephen Ng is an executive director of Canadian Imperial
Bank of Commerce, who is responsible for coordinating market
... mehr
risk
management initiatives in the Asia Pacific region. Previously, he
was a quantitative investment manager at ING Investment Management
where he developed investment strategies and conducted quantitative
research in FX, rates and credit. In addition, he worked at
Diversified Credit Investments, Deutsche Bank and Morgan Stanley in
the past. He earned his MS in Mathematical Finance from University
of Southern California and his BA in Economics from University of
California, Berkeley. He is also a CFA charterholder and a
Certified Financial Risk Manager.
management initiatives in the Asia Pacific region. Previously, he
was a quantitative investment manager at ING Investment Management
where he developed investment strategies and conducted quantitative
research in FX, rates and credit. In addition, he worked at
Diversified Credit Investments, Deutsche Bank and Morgan Stanley in
the past. He earned his MS in Mathematical Finance from University
of Southern California and his BA in Economics from University of
California, Berkeley. He is also a CFA charterholder and a
Certified Financial Risk Manager.
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Bibliographische Angaben
- Autoren: Donny C. F. Lai , Humphrey K. K. Tung , Michael C. S. Wong , Stephen Ng
- 2011, 1. Auflage, 368 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 1118179080
- ISBN-13: 9781118179086
- Erscheinungsdatum: 29.09.2011
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