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Wiley Finance Ser.: Professional Financial Computing Using Excel and VBA by Humphrey K. K. Tung, Donny C. F. Lai and Michael C. S. Wong (2010, Hardcover)

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Publisher: Wiley. Language: English. Number of Pages: 352. Weight: 1.5 lbs. Publication Date: 2010-02-01. ISBN13: 9780470824399.

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Product Information

" 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

Product Identifiers

Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0470824395
ISBN-13
9780470824399
eBay Product ID (ePID)
77418293

Product Key Features

Author
Donny C. F. Lai, Humphrey K. K. Tung, Michael C. S. Wong
Publication Name
Professional Financial Computing Using Excel and Vba
Format
Hardcover
Language
English
Publication Year
2010
Series
Wiley Finance Ser.
Type
Textbook
Number of Pages
352 Pages

Dimensions

Item Length
9.3in
Item Height
1in
Item Width
6.3in
Item Weight
24.1 Oz

Additional Product Features

As Told to
Ng, Stephen
Series Volume Number
633
Lc Classification Number
Hg173
Table of Content
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. The Monte 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 (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
Copyright Date
2010
Topic
Data Modeling & Design, Finance / Financial Engineering, Finance / General, Desktop Applications / Spreadsheets
Dewey Decimal
332.0285536
Intended Audience
Scholarly & Professional
Dewey Edition
22
Illustrated
Yes
Genre
Computers, Business & Economics

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Picture 1 of 1

Wiley Finance Ser.: Professional Financial Computing Using Excel and VBA by Humphrey K. K. Tung, Donny C. F. Lai and Michael C. S. Wong (2010, Hardcover)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

All listings for this product

item 1 Professional Financial Computi [With Cdrom]

item 2 Professional Financial Computing Using Excel and VBA, Hardcover by Tung, Hump...

item 3 Professional Financial Computing Using Excel and VBA, Hardcover by Tung, Hump...

item 4 Professional Financial Computi by Donny C F Lai: New

item 5 Professional Financial Computing Using Excel and VBA: By Lai, Donny C. F., Tu...

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