05741nam 2200781Ia 450 991081123480332120200520144314.0978661340150297811181790861118179080978128340150012834015099781118390405111839040797811181790621118179064(CKB)2670000000139928(EBL)832453(OCoLC)769928284(SSID)ssj0000576100(PQKBManifestationID)11396469(PQKBTitleCode)TC0000576100(PQKBWorkID)10553235(PQKB)11630441(MiAaPQ)EBC832453(Au-PeEL)EBL832453(CaPaEBR)ebr10524052(CaONFJC)MIL340150(PPN)241331064(Perlego)1007604(EXLCZ)99267000000013992820100721d2010 uy 0engur|n|---|||||txtccrProfessional financial computing using Excel and VBA /Humphrey K.K. Tung, Donny C.F. Lai, and Michael C.S. Wong ; with Stephen Ng1st ed.Singapore ;Hoboken, NJ Wiley20101 online resource (365 p.)[Wiley finance]Series statement from jacket.9780470824399 0470824395 Includes bibliographical references and index.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 SchemeCHAPTER 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 Model8.1. 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 Model11.1. 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 ReferenceA.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 ModelAPPENDIX C: VBA Debugging Tools""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 financialWiley finance series.Professional financial computing using Excel & VBAFinanceData processingFinanceData processing.332.0285536Tung Humphrey K. K(Humphrey Kwong Kwai)1613617Lai Donny C. F1613618Wong Michael C. S(Michael Chak Sham)873893MiAaPQMiAaPQMiAaPQBOOK9910811234803321Professional financial computing using Excel and VBA3943013UNINA