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Advanced modelling in finance using Excel and VBA Hardcover – May 30, 2001

ISBN-13: 978-0471499220 ISBN-10: 0471499226

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Product Details

  • Hardcover: 276 pages
  • Publisher: Wiley (May 30, 2001)
  • Language: English
  • ISBN-10: 0471499226
  • ISBN-13: 978-0471499220
  • Product Dimensions: 10.2 x 6.7 x 0.8 inches
  • Shipping Weight: 1.5 pounds (View shipping rates and policies)
  • Average Customer Review: 3.9 out of 5 stars  See all reviews (16 customer reviews)
  • Amazon Best Sellers Rank: #227,337 in Books (See Top 100 in Books)

Editorial Reviews

Review

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

From the Inside Flap

This unique book demonstrates that Excel and VBA can play an important role in the explanation and implementation of numerical methods across finance. It takes a comprehensive look at equities, options on equities and options on bonds from the early 1950s to the late 1990s. Each area contains both standard material and more advanced topics.
All models are developed fully in both spreadsheets, bringing clarity to teaching in finance, and user-defined functions in VBA, giving a ready-made library of portable functions that can be used in Excel. The spreadsheets and VBA functions are provided on a CD-ROM.

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3.9 out of 5 stars
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Most Helpful Customer Reviews

120 of 124 people found the following review helpful By Reader from New York on March 29, 2002
Format: Hardcover
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
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128 of 135 people found the following review helpful By Franco Arda on July 24, 2001
Format: Hardcover
A fantstic book on Excel modelling for Equities, Equity Options, and Bond Options that fills the lack of books on this topic nicely.
It's probably best to compare it to Beninga's „Financial Modelling". It differs in many ways though. It's more compact (250 pages instead of 600), with less detailed explanations, leaves Corporate Finance completely out, and covers fewer topics but to a more advanced level.
The book deserves definitely „advanced", since the equity section was developed for an MBA elective at London Business School. The parts on options and bonds compromise a course for the MSc in Mathematical Trading & Finance at City University Business School. Standard material covered: porfolio theory and efficient frontiers / the CAPM, beta and covariance matrices / performance measurement / the Black & Scholes formula / binomial trees for equity and bond options / Monte Carlo simulation / bond yield-to-maturity, duration and convexity / term structure models from Vasicek and Cox, Ingersoll and Ross.
Advanced topics: value at risk / style analysis / an improved binomial tree (Leisen&Refmer) / quasi Monte Carlo simulation / volatility smiles / Black, Derman & Toy trees / normal interest rate trees.
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29 of 31 people found the following review helpful By sanatonio on February 15, 2003
Format: Hardcover
This book serves as a good source for anyone who is interested in making a career in Financial Engineering. There are many worked examples that facilitate understanding of the theory. This also provides the basics for a person who wants to build benchmarks in Excel for financial modeling.
The numerical methods applied with the help of Excel are useful to understand the various facets of Financial Engineering.
The salient aspects are
- provides the VBA introduction along with the features of Excel
- Equities Risk management and portfolio optimization
- Option pricing using Binomial trees and Black Scholes formula applied in Excel
- Bond option Valuation Formula using the Vasicek, Cox Ingersoll and Ross using the assumptions of Risk neutral process are easily worked out and the examples elucidate the readers understanding
- Interest rate models, valuation of Bond options using the different approaches are done well.
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40 of 45 people found the following review helpful By matt doolittle on March 14, 2004
Format: Hardcover
This is probably the best book written on financial modeling in excel, definitely worth the $50. Comes with a great CD-ROM. The books strength is its illustration of financial models and implantation in Excel. Since the models focus on static solutions the book is probably of greater use in academics than in industry. It would be great if there was instruction about how to input real time data into Excel and implement the models dynamically. Of particular interest to me is the great VBA code given on the CD, namely the code to calculate autocorrelation, cubic spines, eigenvalues and eigenvectors. This alone was worth the 50 bucks.
There are some major deficiencies in this book. Noticeably absent topics include: bond portfolio immunization; swap pricing; forwards and futures hedging; the ARCH, GARCH and CHARMA models.
My background is in finance, mathematics and computer science. Unlike the guy above, I don't see any need for advanced mathematics in order to study this book. In fact I am sure you don't. The point is to make excel do it for you. However it will a lot easier for those who understand the finance and mathematics behind what they are telling excel to do. I am assuming that those who are considering this book most likely have taken at least one college level calculus course and one statistics course. But I don't think even that is necessary and definitely not stochastic calculus.
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