Advanced modelling in finance using Excel and VBA
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...
| Autor principal: | |
|---|---|
| Otros Autores: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester ; New York :
Wiley
c2001.
|
| Edición: | 1st edition |
| Colección: | Wiley finance series.
|
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627211906719 |
Tabla de Contenidos:
- Advanced Modelling in Finance using Excel and VBA; Contents; Preface; Acknowledgements; 1 Introduction; 1.1 Finance insights; 1.2 Asset price assumptions; 1.3 Mathematical and statistical problems; 1.4 Numerical methods; 1.5 Excel solutions; 1.6 Topics covered; 1.7 Related Excel workbooks; 1.8 Comments and suggestions; Part One Advanced Modelling in Excel; 2 Advanced Excel functions and procedures; 2.1 Accessing functions in Excel; 2.2 Mathematical functions; 2.3 Statistical functions; 2.3.1 Using the frequency function; 2.3.2 Using the quartile function; 2.3.3 Using Excel's normal functions
- 2.4 Lookup functions2.5 Other functions; 2.6 Auditing tools; 2.7 Data Tables; 2.7.1 Setting up Data Tables with one input; 2.7.2 Setting up Data Tables with two inputs; 2.8 XY charts; 2.9 Access to Data Analysis and Solver; 2.10 Using range names; 2.11 Regression; 2.12 Goal Seek; 2.13 Matrix algebra and related functions; 2.13.1 Introduction to matrices; 2.13.2 Transposing a matrix; 2.13.3 Adding matrices; 2.13.4 Multiplying matrices; 2.13.5 Matrix inversion; 2.13.6 Solving systems of simultaneous linear equations; 2.13.7 Summary of Excel's matrix functions; Summary; 3 Introduction to VBA
- 3.1 Advantages of mastering VBA3.2 Object-oriented aspects of VBA; 3.3 Starting to write VBA macros; 3.3.1 Some simple examples of VBA subroutines; 3.3.2 MsgBox for interaction; 3.3.3 The writing environment; 3.3.4 Entering code and executing macros; 3.3.5 Recording keystrokes and editing code; 3.4 Elements of programming; 3.4.1 Variables and data types; 3.4.2 VBA array variables; 3.4.3 Control structures; 3.4.4 Control of repeating procedures; 3.4.5 Using Excel functions and VBA functions in code; 3.4.6 General points on programming; 3.5 Communicating between macros and the spreadsheet
- 3.6 Subroutine examples3.6.1 Charts; 3.6.2 Normal probability plot; 3.6.3 Generating the efficient frontier with Solver; Summary; References; Appendix 3A The Visual Basic Editor; Stepping through a macro and using other debug tools; Appendix 3B Recording keystrokes in 'relative references' mode; 4 Writing VBA user-defined functions; 4.1 A simple sales commission function; 4.2 Creating Commission(Sales) in the spreadsheet; 4.3 Two functions with multiple inputs for valuing options; 4.4 Manipulating arrays in VBA; 4.5 Expected value and variance functions with array inputs
- 4.6 Portfolio variance function with array inputs4.7 Functions with array output; 4.8 Using Excel and VBA functions in user-defined functions; 4.8.1 Using VBA functions in user-defined functions; 4.8.2 Add-ins; 4.9 Pros and cons of developing VBA functions; Summary; Appendix 4A Functions illustrating array handling; Appendix 4B Binomial tree option valuation functions; Exercises on writing functions; Solution notes for exercises on functions; Part Two Equities; 5 Introduction to equities; 6 Portfolio optimisation; 6.1 Portfolio mean and variance; 6.2 Risk-return representation of portfolios
- 6.3 Using Solver to find efficient points
