Catalogue

COVID-19: Updates on library services and operations.

Professional financial computing using Excel and VBA [electronic resource] /
Humphrey K.K. Tung, Donny C.F. Lai, and Michael C.S. Wong ; with Stephen Ng.
imprint
Singapore ; Hoboken, NJ : Wiley, 2010.
description
ix, 353 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.).
ISBN
0470824395 (hbk.), 9780470824399 (hbk.)
format(s)
Book
More Details
series title
series title
imprint
Singapore ; Hoboken, NJ : Wiley, 2010.
isbn
0470824395 (hbk.)
9780470824399 (hbk.)
restrictions
Licensed for access by U. of T. users.
general note
Series statement from jacket.
catalogue key
8550446
 
Includes bibliographical references and index.
A Look Inside
Excerpts
Flap Copy
Too often, books on financial computing provide only quick-and-dirty implementations of financial models that have very little use in real-world applications. Professional Financial Computing Using Excel and VBA aims to provide real-world implementations of financial models that are robust, reusable, and flexible. The book covers a wide range of financial models in the areas of derivatives pricings, market and credit risk modeling, as well as advanced interest rate modeling. Each of the chapters on model implementations starts with a review on all the necessary financial theory and concepts from a practitioner's perspective. Step-by-step instructions on the implementation are then provided to explain the programming techniques involved for models with different complexities. Alternative approaches are also discussed to offer readers a comprehensive understanding of different techniques. The appendices provide an in-depth look at how to implement financial models using both Excel 2007 and VBA, and to discuss the essential programming practices and skills in structuring complex financial models through advanced VBA features. This book is designed for self-study, reference, and classroom use for graduate programs in financial engineering and computing. All Excel and VBA codes illustrated in the book are included in the enclosed CD.
Flap Copy
Too often, books on financial computing provide only quick-and-dirty implementations of financial models that have very little use in real-world applications. Professional Financial Computing Using Excel and VBA aims to provide real-world implementations of financial models that are robust, reusable, and flexible. The book covers a wide range of financial models in the areas of derivatives pricings, market and credit risk modeling, as well as advanced interest rate modeling.Each of the chapters on model implementations starts with a review on all the necessary financial theory and concepts from a practitioner's perspective. Step-by-step instructions on the implementation are then provided to explain the programming techniques involved for models with different complexities. Alternative approaches are also discussed to offer readers a comprehensive understanding of different techniques. The appendices provide an in-depth look at how to implement financial models using both Excel 2007 and VBA, and to discuss the essential programming practices and skills in structuring complex financial models through advanced VBA features.This book is designed for self-study, reference, and classroom use for graduate programs in financial engineering and computing. All Excel and VBA codes illustrated in the book are included in the enclosed CD.
Summaries
Bowker Data Service Summary
This title provides reusable, flexible, real-world implementations of financial models. It explores financial models, like derivatives pricings, market and credit risk modeling, and advanced interest rate modeling.
Main Description
Often 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. The book explores financial models, like derivatives pricings, market and credit risk modeling, and advanced interest rate modeling. With step-by-step instructions, this resource reviews fundamental financial theories and concepts, as well as alternative approaches to ensure a comprehensive understanding of the different techniques. This text is an ideal reference for graduate students studying financial engineering and computing.
Main Description
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 engineering and modeling needs. Dr. Cameron Wicentowich Vice President, Treasury Analytics Canadian Imperial Bank of Commerce (CIBC) Spreadsheet modeling for finance has become a standard course in the curriculum of many Quantitative Finance programs since the Excel-based Visual Basic programming is now widely used in constructing optimal portfolios, pricing structured products and managing risks. Professional Financial Computing Using Excel and VBA is written by a unique team of finance, physics and computer academics and practitioners. It is a good reference for those who are studying for a Masters degree in Financial Engineering and Risk Management. It can also be useful for financial engineers to jump-start a project on designing structured products, modeling interest term structure or credit risks. Dr. Jin Zhang Director of Master of Finance Program and Associate Professor The University of Hong Kong Excel has been one of the most powerful tools for financial planning and computing over the last few years. Most users utilize a fraction of its capabilities. One of the reasons is the limited availability of books that cover the advanced features of Excel for Finance. Professional Financial Computing Using Excel and VBA goes the extra mile and deals with the Excel tools many professionals call for. This book is a must for professionals or students dealing with financial engineering, financial risk management, computational finance or mathematical finance. I loved the way the authors covered the material using real life, hands-on examples. Dr. Isaac Gottlieb Temple University Author, Next Generation Excel: Modeling in Excel for Analysts and MBAs
Main Description
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 engineering and modeling needs.Dr. Cameron Wicentowich Vice President, Treasury Analytics Canadian Imperial Bank of Commerce (CIBC)Spreadsheet modeling for finance has become a standard course in the curriculum of many Quantitative Finance programs since the Excel-based Visual Basic programming is now widely used in constructing optimal portfolios, pricing structured products and managing risks. Professional Financial Computing Using Excel and VBA is written by a unique team of finance, physics and computer academics and practitioners. It is a good reference for those who are studying for a Masters degree in Financial Engineering and Risk Management. It can also be useful for financial engineers to jump-start a project on designing structured products, modeling interest term structure or credit risks.Dr. Jin Zhang Director of Master of Finance Program and Associate Professor The University of Hong KongExcel has been one of the most powerful tools for financial planning and computing over the last few years. Most users utilize a fraction of its capabilities. One of the reasons is the limited availability of books that cover the advanced features of Excel for Finance. Professional Financial Computing Using Excel and VBA goes the extra mile and deals with the Excel tools many professionals call for. This book is a must for professionals or students dealing with financial engineering, financial risk management, computational finance or mathematical finance. I loved the way the authors covered the material using real life, hands-on examples.Dr. Isaac Gottlieb Temple University Author, Next Generation Excel: Modeling in Excel for Analysts and MBAs
Table of Contents
Prefacep. ix
Financial Engineering and Computingp. 1
Financial Engineering and Spreadsheet Modelingp. 1
Lehman Brothers' Products for Retail Investorsp. 3
Risk Management and Basel IIp. 4
About the Bookp. 4
Chapter Highlightsp. 6
Other Remarksp. 7
The GARCH(1,1) Modelp. 9
The Modelp. 9
Excel Implementationp. 10
Excel Plus VBA Implementationp. 15
Finite Difference Methodsp. 21
Difference Equationsp. 21
Excel Implementationp. 24
VBA Implementationp. 28
Crank-Nicholson Schemep. 33
Portfolio Mean-Variance Optimizationp. 37
Portfolio Selectionp. 37
Excel Implementationp. 42
Excel Plus VBA Implementationp. 48
Newton-Raphson Methodp. 59
Newton-Raphson Method for Systems of Equationsp. 59
VBA Routinep. 61
Yield Curve Construction Using Cubic Splinep. 67
Cubic Spline Interpolationp. 67
Yield Curve Constructionp. 75
Excel Plus VBA Implementationp. 77
Binomial Option Pricing Modelp. 85
Risk-Neutral Option Pricing and the Binomial Treep. 85
VBA Implementationp. 89
The Black-Derman-Toy Modelp. 95
The Term Structure Model and the Black-Derman-Toy Treep. 95
Excel Plus VBA Implementationp. 98
Monte Carlo Option Pricingp. 109
The Monte Carlo Methodp. 109
Risk-Neutral Valuationp. 112
VBA Implementationp. 114
Exotic Optionsp. 124
American Optionsp. 132
Portfolio Value-at-Riskp. 143
Portfolio Risk Simulationp. 143
Monte Carlo Simulation for Multiple-Asset Portfoliosp. 152
Historical Simulation for Multiple-Asset Portfoliosp. 160
VBA Implementation of Portfolio Risk Simulationp. 164
Drill Down of Portfolio Riskp. 180
The Hull-White Modelp. 189
Hull-White Trinomial Treep. 189
Excel Plus VBA Implementationp. 196
The General Hull-White Modelp. 203
Implementation of the General Hull-White Modelp. 210
CreditMetrics Modelp. 221
The CreditMetrics Modelp. 221
Individual (Segregate) Asset Valuation Frameworkp. 221
Monte Carlo Simulation in Detailp. 225
Excel and VBA Implementationp. 227
KMV-Merton Modelp. 243
KMV-Merton Model of Credit Riskp. 243
Excel and VBA Implementationp. 248
VBA Programmingp. 255
Introductionp. 255
A Brief History of VBAp. 255
Essential Excel Elements for VBAp. 256
Excel Cell Referencep. 257
Excel Defined Namesp. 261
Excel Worksheet Functionsp. 264
The VBA Development Environment (VBE)p. 266
The Developer Tab in the Ribbonp. 266
The Windows of VBEp. 268
The Project Explorerp. 272
The VBA Project Structurep. 273
The Procedure to Create a VBA Subroutinep. 275
The Procedure to Create a VBA Functionp. 278
Basic VBA Programming Conceptsp. 280
Variables and Data Typesp. 285
Declaration and Assignment Statementsp. 287
Flow Control Statementsp. 293
VBA Arraysp. 300
Using Worksheet Matrix Functions in VBAp. 304
Summaryp. 311
The Excel Object Modelp. 315
VBA Debugging Toolsp. 321
Summary of VBA Operatorsp. 327
Summary of VBA Functionsp. 331
Summary of VBA Statementsp. 333
Excel Array Formulap. 341
Indexp. 349
Table of Contents provided by Ingram. All Rights Reserved.

This information is provided by a service that aggregates data from review sources and other sources that are often consulted by libraries, and readers. The University does not edit this information and merely includes it as a convenience for users. It does not warrant that reviews are accurate. As with any review users should approach reviews critically and where deemed necessary should consult multiple review sources. Any concerns or questions about particular reviews should be directed to the reviewer and/or publisher.

  link to old catalogue

Report a problem