Professional Financial Computing Using Excel and VBA

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.

Table of Contents

CHAPTER 1 Financial Engineering and Computing
CHAPTER 2 The GARCH(1,1) Model
CHAPTER 3 Finite Difference Methods
CHAPTER 4 Portfolio Mean-Variance Optimization
CHAPTER 5 Newton–Raphson Method
CHAPTER 6 Yield Curve Construction Using Cubic Spline
CHAPTER 7 Binomial Option Pricing Model
CHAPTER 8 The Black–Derman–Toy Model
CHAPTER 9 Monte Carlo Option Pricing
CHAPTER 10 Portfolio Value-at-Risk
CHAPTER 11 The Hull–White Model
CHAPTER 12 CreditMetrics Model
CHAPTER 13 KMV–Merton Model
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