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eISBN : 9781118179062

Contents : Contents
Preface
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

2. The GARCH(1,1) Model
2.1. The Model
2.2. Excel Implementation
2.3. Excel Plus VBA Implementation

3. Finite Difference Methods
3.1. Difference Equations
3.2. Excel Implementation
3.3. VBA Implementation
3.4. Crank–Nicholson Scheme

4. Portfolio Mean-Variance Optimization
4.1. Portfolio Selection
4.2. Excel Implementation
4.3. Excel Plus VBA Implementation

5. Newton–Raphson Method
5.1. Newton–Raphson Method for Systems of Equations
5.2. VBA Routine

6. Yield Curve Construction Using Cubic Spline
6.1. Cubic Spline Interpolation
6.2. Yield Curve Construction
6.3. Excel Plus VBA Implementation

7. Binomial Option Pricing Model
7.1. Risk-Neutral Option Pricing and the Binomial Tree
7.2. VBA Implementation

8. The Black–Derman–Toy Model
8.1. The Term Structure Model and the Black–Derman–Toy Tree
8.2. Excel Plus VBA Implementation

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

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

11. The Hull–White Model
11.1. Hull–White Trinomial Tree
11.2. Excel Plus VBA Implementation
11.3. The General Hull–White Model
11.4. Implementation of the General Hull–White Model

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

13. KMV–Merton Model
13.1. KMV–Merton Model of Credit Risk
13.2. Excel and VBA Implementation

APPENDIX A VBA Programming
APPENDIX B The Excel Object Model
APPENDIX C VBA Debugging Tools
APPENDIX D Summary of VBA Operators
APPENDIX E Summary of VBA Functions
APPENDIX F Summary of VBA Statements
APPENDIX G Excel Array Formula
Index

Language : English

Series : FINANCE

Place of publishing : TORONTO

Location : Nice Library

Material : Electronic

Statement : Présent

Owner : Bibliothèque