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Advanced Modelling in Finance Using Excel and VBA (The Wiley Finance Series) Hardcover – 20 Apr 2001

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Product details

  • Hardcover: 276 pages
  • Publisher: John Wiley & Sons; Har/Cdr edition (20 April 2001)
  • Language: English
  • ISBN-10: 0471499226
  • ISBN-13: 978-0471499220
  • Product Dimensions: 17.5 x 2.5 x 25.1 cm
  • Average Customer Review: 3.4 out of 5 stars  See all reviews (7 customer reviews)
  • Amazon Bestsellers Rank: 427,365 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Product Description

Review

No. 4 bestseller in ′General Finance′ (erivativesreview.com, December 2001)

From the Author

We only use macros where VBA functions cannot be used (such as for charts and Solver). For everything else, the spreadsheets are complemented with scores of VBA user-defined functions that do everything up to and including solving for eigenvalues and option valuation using binomial trees with thousands of steps. In particular, chapter 12 uses simulation to value options and the asociated VBA user-defined functions include both antithetic-variate and quasi-random numbers (with not a macro in sight)

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Customer Reviews

3.4 out of 5 stars
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Most Helpful Customer Reviews

31 of 32 people found the following review helpful By Vesselin Petrov on 20 May 2004
Format: Hardcover
There are two things this book won't teach you one is modelling and the other VBA. One would be far better off buying John Hull's book on derivatives or something of a sort and a book on VBA with Excel separately. To understand this book well you need a prior knowledge of both Financial math and VBA/Excel but if you have that already why would you need this book on the first place? I have to admit I was misled by the previous reviews - all were very good. Finally a lot of my colleagues have the book on their desks and how new these books look as if they've never been open before, draw your own conclusion.
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34 of 38 people found the following review helpful By Franco Arda on 25 July 2001
Format: Hardcover
A fantstic book on Excel modelling for Equities, Equity Options, and Bond Options that fills the lack of books on this topic nicely.
It's probably best to compare it to Beninga's „Financial Modelling". It differs in many ways though. It's more compact (250 pages instead of 600), with less detailed explanations, leaves Corporate Finance completely out, and covers fewer topics but to a more advanced step.
The book deserves definitely „advanced", since the equity section was developed for an MBA elective at London Business School. The parts on options and bonds compromise a course for the MSc in Mathematical Trading & Finance at City University Business School.
Standard material covered: porfolio theory and efficient frontiers / the CAPM, beta and covariance matrices / performance measurement / the Black & Scholes formula / binomial trees for equity and bond options / Monte Carlo simulation / bond yield-to-maturity, duration and convexity / term structure models from Vasicek and Cox, Ingersoll and Ross.
Advanced topics: value at risk / style analysis / an improved binomial tree (Leisen&Refmer) / quasi Monte Carlo simulation / volatility smiles / Black, Derman & Toy trees / normal interest rate trees.
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6 of 7 people found the following review helpful By "claudioluciani" on 12 Sept. 2002
Format: Hardcover
Excellent for those interested on Excel/VBA modelling. It's compact, clear, easy to follow and to understand. It covers all you need to know from portfolio theory to more advanced topics such as VAR, volatilities smiles and normal interest rate trees. Good spreadsheets examples and VBA functions in the CD-ROM. It's probably not so good for advanced programmers but it's an excellent book for those who want to develop their knolewdge of modelling in finance. I liked it very much...well done !
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8 of 10 people found the following review helpful By A Customer on 7 Mar. 2002
Format: Hardcover
This is an excellent book for those learning options pricing or portfolio management using Visual Basic. It covers most topic you'd need at an introductory-to-intermediate level and its focus on practical Excel work gives a very good level of discipline to the reader who can then also be introduced to various advanced topics such as Monte Carlo simulations and methods to make them more efficient. The VB taught, however, is mainly for macros, not so much for programming. So the book is a little weak on simulations, for example. For that you could look at some chapters in Albright, VBA for Modelers.
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