Advanced Modelling in Finance using Excel and VBA and over one million other books are available for Amazon Kindle. Learn more

Sorry, this item is not available in
Image not available for
Image not available

To view this video download Flash Player


Sign in to turn on 1-Click ordering
Sell Us Your Item
For a $6.83 Gift Card
Trade in
More Buying Choices
Have one to sell? Sell yours here
Start reading Advanced Modelling in Finance using Excel and VBA on your Kindle in under a minute.

Don't have a Kindle? Get your Kindle here, or download a FREE Kindle Reading App.

Advanced modelling in finance using Excel and VBA [Hardcover]

by Mary Jackson, Mike Staunton
4.1 out of 5 stars  See all reviews (16 customer reviews)

Buy New
$72.96 & FREE Shipping. Details
$37.98 & FREE Shipping. Details
Only 6 left in stock (more on the way).
Ships from and sold by Gift-wrap available.
In Stock.
Want it tomorrow, April 25? Choose One-Day Shipping at checkout. Details
Free Two-Day Shipping for College Students with Amazon Student


Amazon Price New from Used from
Kindle Edition $69.31  
Hardcover $72.96  
Unknown Binding --  
Shop the new
New! Introducing the, a hub for Software Developers and Architects, Networking Administrators, TPMs, and other technology professionals to find highly-rated and highly-relevant career resources. Shop books on programming and big data, or read this week's blog posts by authors and thought-leaders in the tech industry. > Shop now

Book Description

May 30, 2001 0471499226 978-0471499220
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 late 1990s.

The book adopts a step-by-step approach to understanding the more sophisticated aspects of Excel macros and VBA programming, showing how these programming techniques can be used to model and manipulate financial data, as applied to equities, bonds and options. The book is essential for financial practitioners who need to develop their financial modelling skill sets as there is an increase in the need to analyse and develop ever more complex 'what if' scenarios.

  • Specifically applies Excel and VBA to the financial markets
  • Packaged with a CD containing the software from the examples throughout the book

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Frequently Bought Together

Advanced modelling in finance using Excel and VBA + Financial Modeling
Price for both: $152.07

Buy the selected items together
  • Financial Modeling $79.11

Editorial Reviews


No. 4 bestseller in 'General Finance' (, 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.

Product Details

  • Hardcover: 276 pages
  • Publisher: Wiley (May 30, 2001)
  • Language: English
  • ISBN-10: 0471499226
  • ISBN-13: 978-0471499220
  • Product Dimensions: 10.3 x 6.6 x 0.9 inches
  • Shipping Weight: 1.5 pounds (View shipping rates and policies)
  • Average Customer Review: 4.1 out of 5 stars  See all reviews (16 customer reviews)
  • Amazon Best Sellers Rank: #301,007 in Books (See Top 100 in Books)

More About the Authors

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews
120 of 124 people found the following review helpful
5.0 out of 5 stars Comprehensive coverage of VBA financial models March 29, 2002
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
Comment | 
Was this review helpful to you?
128 of 135 people found the following review helpful
5.0 out of 5 stars Superb July 24, 2001
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.
Comment | 
Was this review helpful to you?
29 of 31 people found the following review helpful
5.0 out of 5 stars Financial Engineers reference book February 15, 2003
By A. Paul
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.
Comment | 
Was this review helpful to you?
40 of 45 people found the following review helpful
5.0 out of 5 stars Advanced modelling in finance using Excel and VBA March 14, 2004
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.
Comment | 
Was this review helpful to you?
Most Recent Customer Reviews
4.0 out of 5 stars Very good
Most people use a tiny fraction of the potential of Excel, and their skill level hits a plateau soon after learning the very basics. Read more
Published 7 days ago by KT
1.0 out of 5 stars The VBA on CD is old, not readable, no longer supported by Microsoft
Unless you are using a very old version of Excel, the CD is useless. Wiley does not support the product. Read more
Published 12 months ago by Daniel Watts
4.0 out of 5 stars A good book for beginners
I actually found this book very helpful. The explanations were incredibly accessible and thorough. I did not use the accompanying disc, but I'm sure it's helpful as well, given... Read more
Published on September 9, 2009 by 1000Books
5.0 out of 5 stars Advance Modelling in Finance purchase
right on hands ont he job, useful material, most of the book are applications so that is just what people looking for practical apps are looking for, no excess theorie alreasdy... Read more
Published on May 25, 2009 by Cesar Leoz Bueno
1.0 out of 5 stars Not worth buying, don't get fooled by the reviews
Have a look first before buying. I am surprised by the 5 stars reviews!
To summarize, it is like a very simple recipes book about some models in finance. Read more
Published on June 11, 2008 by Reader
5.0 out of 5 stars Absolutely Great!
Advanced Modeling is a fantastic book, and pretty easy to follow with relatively few coding errors. There are some books out there that have errors in the code that they use,... Read more
Published on January 10, 2006 by C. Ang
5.0 out of 5 stars A Cookbook for Financial Modellers
Yes, the book won't teach you CAPM, Black-Scholes, or much financial theory. But there is NO shortage of those books. Read more
Published on October 19, 2005 by Max Rottersman
3.0 out of 5 stars Not really satisfying
One of the main points of programming books is to help the reader understand the models being programmed. Read more
Published on June 5, 2004
5.0 out of 5 stars Highly Recommended
VBA is one of those tools I long knew I should be proficient in but never got around to learning. That is, not until I found this book. Read more
Published on March 5, 2003 by Guy Odell
5.0 out of 5 stars Great Practical Tips
This book was a godsend. My stochastic calculus background is very strong, and I'm a good modeller/programmer, too. Read more
Published on February 14, 2003
Search Customer Reviews
Only search this product's reviews

What Other Items Do Customers Buy After Viewing This Item?


There are no discussions about this product yet.
Be the first to discuss this product with the community.
Start a new discussion
First post:
Prompts for sign-in

Look for Similar Items by Category