{"product_id":"professional-financial-computi-9780470824399","title":"Professional Financial Computi","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eOften financial computing guidebooks provide only quick-and-dirty implementations of financial models, rarely related to real-world applications.  Professional Financial Computing Using Excel and VBA provides reusable, flexible, real-world implementations of financial models.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Financial Engineering and Computing 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Financial Engineering and Spreadsheet Modeling 1\u003c\/p\u003e \u003cp\u003e1.2 Lehman Brothers’ Products for Retail Investors 3\u003c\/p\u003e \u003cp\u003e1.3 Risk Management and Basel II 4\u003c\/p\u003e \u003cp\u003e1.4 About the Book 4\u003c\/p\u003e \u003cp\u003e1.5. Chapter Highlights 6\u003c\/p\u003e \u003cp\u003e1.6 Other Remarks 7\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 The GARCH(1,1) Model 9\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1. The Model 9\u003c\/p\u003e \u003cp\u003e2.2. Excel Implementation 10\u003c\/p\u003e \u003cp\u003e2.3. Excel Plus VBA Implementation 15\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Finite Difference Methods 21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1. Difference Equations 21\u003c\/p\u003e \u003cp\u003e3.2. Excel Implementation 24\u003c\/p\u003e \u003cp\u003e3.3. VBA Implementation 28\u003c\/p\u003e \u003cp\u003e3.4. Crank–Nicholson Scheme 33\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Portfolio Mean-Variance Optimization 37\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1. Portfolio Selection 37\u003c\/p\u003e \u003cp\u003e4.2. Excel Implementation 42\u003c\/p\u003e \u003cp\u003e4.3. Excel Plus VBA Implementation 48\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Newton–Raphson Method 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1. Newton–Raphson Method for Systems of Equations 59\u003c\/p\u003e \u003cp\u003e5.2. VBA Routine 61\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Yield Curve Construction Using Cubic Spline 67\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1. Cubic Spline Interpolation 67\u003c\/p\u003e \u003cp\u003e6.2. Yield Curve Construction 75\u003c\/p\u003e \u003cp\u003e6.3. Excel Plus VBA Implementation 77\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Binomial Option Pricing Model 85\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1. Risk-Neutral Option Pricing and the Binomial Tree 85\u003c\/p\u003e \u003cp\u003e7.2. VBA Implementation 89\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 The Black–Derman–Toy Model 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1. The Term Structure Model and the Black–Derman–Toy Tree 95\u003c\/p\u003e \u003cp\u003e8.2. Excel Plus VBA Implementation 98\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Monte Carlo Option Pricing 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1. The Monte Carlo Method 109\u003c\/p\u003e \u003cp\u003e9.2. Risk-Neutral Valuation 112\u003c\/p\u003e \u003cp\u003e9.3. VBA Implementation 114\u003c\/p\u003e \u003cp\u003e9.4. Exotic Options 124\u003c\/p\u003e \u003cp\u003e9.5. American Options 132\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Portfolio Value-at-Risk 143\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1. Portfolio Risk Simulation 143\u003c\/p\u003e \u003cp\u003e10.2. Monte Carlo Simulation for Multiple-Asset Portfolios 152\u003c\/p\u003e \u003cp\u003e10.3. Historical Simulation for Multiple-Asset Portfolios 160\u003c\/p\u003e \u003cp\u003e10.4. VBA Implementation of Portfolio Risk Simulation 164\u003c\/p\u003e \u003cp\u003e10.5. Drill Down of Portfolio Risk 180\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 The Hull–White Model 189\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1. Hull–White Trinomial Tree 189\u003c\/p\u003e \u003cp\u003e11.2. Excel Plus VBA Implementation 196\u003c\/p\u003e \u003cp\u003e11.3. The General Hull–White Model 203\u003c\/p\u003e \u003cp\u003e11.4. Implementation of the General Hull–White Model 210\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 CreditMetrics Model 221\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1. The CreditMetrics Model 221\u003c\/p\u003e \u003cp\u003e12.2. Individual (Segregate) Asset Valuation Framework 221\u003c\/p\u003e \u003cp\u003e12.3 Monte Carlo Simulation in Detail 225\u003c\/p\u003e \u003cp\u003e12.4. Excel and VBA Implementation 227\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 KMV–Merton Model 243\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1. KMV–Merton Model of Credit Risk 243\u003c\/p\u003e \u003cp\u003e13.2. Excel and VBA Implementation 248\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A VBA Programming 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.1 Introduction 255\u003c\/p\u003e \u003cp\u003eA.2 A Brief History of VBA 255\u003c\/p\u003e \u003cp\u003eA.3 Essential Excel Elements for VBA 256\u003c\/p\u003e \u003cp\u003eA.3.1 Excel Cell Reference 257\u003c\/p\u003e \u003cp\u003eA.3.2 Excel Defined Names 261\u003c\/p\u003e \u003cp\u003eA.3.3 Excel Worksheet Functions 264\u003c\/p\u003e \u003cp\u003eA.4 The VBA Development Environment (VBE) 266\u003c\/p\u003e \u003cp\u003eA.4.1 The Developer Tab in the Ribbon 266\u003c\/p\u003e \u003cp\u003eA.4.2 The Windows of VBE 268\u003c\/p\u003e \u003cp\u003eA.4.3 The Project Explorer 272\u003c\/p\u003e \u003cp\u003eA.4.4 The VBA Project Structure 273\u003c\/p\u003e \u003cp\u003eA.4.5 The Procedure to Create a VBA Subroutine 275\u003c\/p\u003e \u003cp\u003eA.4.6 The Procedure to Create a VBA Function 278\u003c\/p\u003e \u003cp\u003eA.5 Basic VBA Programming Concepts 280\u003c\/p\u003e \u003cp\u003eA.5.1 Variables and Data Types 285\u003c\/p\u003e \u003cp\u003eA.5.2 Declaration and Assignment Statements 287\u003c\/p\u003e \u003cp\u003eA.5.3 Flow Control Statements 293\u003c\/p\u003e \u003cp\u003eA.6 VBA Arrays 300\u003c\/p\u003e \u003cp\u003eA.7 Using Worksheet Matrix Functions in VBA 304\u003c\/p\u003e \u003cp\u003eA.8 Summary 311\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix B The Excel Object Model 315\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix C VBA Debugging Tools 321\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix D Summary of VBA Operators 327\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix E Summary of VBA Functions 331\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix F Summary of VBA Statements 333\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix G Excel Array Formula 341\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIndex 349\u003c\/p\u003e","brand":"John Wiley \u0026 Sons","offers":[{"title":"Default Title","offer_id":53515418992983,"sku":"9780470824399","price":76.5,"currency_code":"GBP","in_stock":true}],"url":"https:\/\/bookcurl.com\/products\/professional-financial-computi-9780470824399","provider":"Book Curl","version":"1.0","type":"link"}