LEADER 05506nam 2200685Ia 450 001 9910141152303321 005 20200520144314.0 010 $a1-118-17908-0 010 $a1-283-40150-9 010 $a9786613401502 010 $a1-118-39040-7 010 $a1-118-17906-4 035 $a(CKB)2670000000139928 035 $a(EBL)832453 035 $a(OCoLC)769928284 035 $a(SSID)ssj0000576100 035 $a(PQKBManifestationID)11396469 035 $a(PQKBTitleCode)TC0000576100 035 $a(PQKBWorkID)10553235 035 $a(PQKB)11630441 035 $a(MiAaPQ)EBC832453 035 $a(Au-PeEL)EBL832453 035 $a(CaPaEBR)ebr10524052 035 $a(CaONFJC)MIL340150 035 $a(PPN)241331064 035 $a(EXLCZ)992670000000139928 100 $a20100721d2010 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aProfessional financial computing using Excel and VBA$b[electronic resource] /$fHumphrey K.K. Tung, Donny C.F. Lai, and Michael C.S. Wong ; with Stephen Ng 210 $aSingapore ;$aHoboken, NJ $cWiley$d2010 215 $a1 online resource (365 p.) 225 1 $a[Wiley finance] 300 $aSeries statement from jacket. 311 $a0-470-82439-5 320 $aIncludes bibliographical references and index. 327 $aProfessional 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 327 $aCHAPTER 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 327 $a8.1. 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 327 $a11.1. 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 327 $aA.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 327 $aAPPENDIX C: VBA Debugging Tools 330 $a""Professional Financial Computing Using Excel and VBA is an admirable exposition that bridges the theoretical underpinnings of financial engineering and its application which usually appears as a ""black-box"" software application. The book opens the black-box and reveals the architecture of risk-modeling and financial engineering based on industry-standard stochastic models by utilizing Excel and VBA functionality to create a robust and practical modeling tool-kit. Financial engineering professionals who purchase this book will have a jumpstart advantage for their customized financial 410 0$aWiley finance series. 606 $aFinance$xData processing 615 0$aFinance$xData processing. 676 $a332.0285536 700 $aTung$b Humphrey K. K$g(Humphrey Kwong Kwai)$0945103 701 $aLai$b Donny C. F$0945104 701 $aWong$b Michael C. S$g(Michael Chak Sham)$0873893 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910141152303321 996 $aProfessional financial computing using Excel and VBA$92133647 997 $aUNINA