Professional Financial Computing Using Excel and VBA

Professional Financial Computing Using Excel and VBA / Humphrey K.K. Tung, Donny C.F. Lai, and Michael C.S. Wong ; with Stephen Ng.

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...

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Bibliographic Details
Main Author: Tung, Humphrey K. K. (Humphrey Kwong Kwai)
Format: eBook
Language:English
Published: Singapore : John Wiley & Sons (Asia), 2010.
Series:Wiley finance series.
Subjects:
Microsoft Excel (Computer file)
Microsoft Visual Basic for applications.
Microsoft Visual Basic for applications
Finance, Personal > Computer programs.
BUSINESS & ECONOMICS > Investments & Securities > General.
Finance, Personal > Computer programs
Online Access:Click for online access
Table of Contents:
  • Professional Financial Computing Using Excel & VBA; Contents; Preface; CHAPTER 1: Financial Engineering and Computing; 1.1 Financial Engineering and Spreadsheet Modeling; 1.2 Lehman Brothers' Products for Retail Investors; 1.3 Risk Management and Basel II; 1.4 About the Book; 1.5. Chapter Highlights; 1.6 Other Remarks; CHAPTER 2: The GARCH(1,1) Model; 2.1. The Model; 2.2. Excel Implementation; 2.3. Excel Plus VBA Implementation; CHAPTER 3: Finite Difference Methods; 3.1. Difference Equations; 3.2. Excel Implementation; 3.3. VBA Implementation; 3.4. Crank-Nicholson Scheme.
  • CHAPTER 4: Portfolio Mean-Variance Optimization4.1. Portfolio Selection; 4.2. Excel Implementation; 4.3. Excel Plus VBA Implementation; CHAPTER 5: Newton-Raphson Method; 5.1. Newton-Raphson Method for Systems of Equations; 5.2. VBA Routine; CHAPTER 6: Yield Curve Construction Using Cubic Spline; 6.1. Cubic Spline Interpolation; 6.2. Yield Curve Construction; 6.3. Excel Plus VBA Implementation; CHAPTER 7: Binomial Option Pricing Model; 7.1. Risk-Neutral Option Pricing and the Binomial Tree; 7.2. VBA Implementation; CHAPTER 8: The Black-Derman-Toy Model.
  • 8.1. The Term Structure Model and the Black-Derman-Toy Tree8.2. Excel Plus VBA Implementation; CHAPTER 9: Monte Carlo Option Pricing; 9.1. TheMonte Carlo Method; 9.2. Risk-Neutral Valuation; 9.3. VBA Implementation; 9.4. Exotic Options; 9.5. American Options; CHAPTER 10: Portfolio Value-at-Risk; 10.1. Portfolio Risk Simulation; 10.2. Monte Carlo Simulation for Multiple-Asset Portfolios; 10.3. Historical Simulation for Multiple-Asset Portfolios; 10.4. VBA Implementation of Portfolio Risk Simulation; 10.5. Drill Down of Portfolio Risk; CHAPTER 11: The Hull-White Model.
  • 11.1. Hull-White Trinomial Tree11.2. Excel Plus VBA Implementation; 11.3. The General Hull-White Model; 11.4. Implementation of the General Hull-White Model; CHAPTER 12: CreditMetrics Model; 12.1. The CreditMetrics Model; 12.2. Individual (Segregate) Asset Valuation Framework; 12.3 Monte Carlo Simulation in Detail; 12.4. Excel and VBA Implementation; CHAPTER 13: KMV-Merton Model; 13.1. KMV-Merton Model of Credit Risk; 13.2. Excel and VBA Implementation; APPENDIX A: VBA Programming; A.1 Introduction; A.2 A Brief History of VBA; A.3 Essential Excel Elements for VBA; A.3.1 Excel Cell Reference.
  • A.3.2 Excel Defined NamesA. 3.3 Excel Worksheet Functions; A.4 The VBA Development Environment (VBE); A.4.1 The Developer Tab in the Ribbon; A.4.2 The Windows of VBE; A.4.3 The Project Explorer; A.4.4 The VBA Project Structure; A.4.5 The Procedure to Create a VBA Subroutine; A.4.6 The Procedure to Create a VBA Function; A.5 Basic VBA Programming Concepts; A.5.1 Variables and Data Types; A.5.2 Declaration and Assignment Statements; A.5.3 Flow Control Statements; A.6 VBA Arrays; A.7 Using Worksheet Matrix Functions in VBA; A.8 Summary; APPENDIX B: The Excel Object Model.

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