Advanced Modelling in Finance Using Excel and VBA outlines a step-by-step approach to using the more sophisticated aspects of Excel macros and VBA programming to model and manipulate financial data, illustrating with practical examples how these can be applied to a variety of financial problems and situations.

Advanced modelling in finance using Excel and VBA

Mary Jackson and Mike Staunton

This book will appeal to both graduate students and practitioners. Students will value the Excel spreadsheets allowing them to develop their knowledge of modelling in finance, using a step-by-step approach accompanied by explanations using elementary mathematical statistics and probability. Practitioners will value the VBA functions as a source of up-to-date and efficient programs that can be easily used from Excel.

Standard material rovered includes:

• portfolio theory and efficient frontiers
• the Capital Asset Pricing Model, beta and variance-covariance matrices
• performance measurement
• the Black-Scholes option pricing formula
• binomial trees for options on equities and bonds
• Monte Carlo simulation
• bond yield-to-maturity, duration and convexity
• term structure models from Vasicek and Cox, Ingersoll and Ross

Advanced topics covered include:

• Value-at-Risk
• style analysis
• an improved binomial tree (Leisen & Reimer)
• quasi Monte Carlo simulation
• volatility smiles
• Black, Derman & Toy trees
• normal interest rate trees