This book is a good company to Master degree programs in Financial Engineering, Financial Risk Management, Quantitative Investment, Computational Finance, or Mathematical Finance. Also, risk managers, traders, IT analysts, quantitative analysts working in investment banks and hedge fund will find it to be a good reference.
The book provides VBA examples on some widely-used finance and risk models. We expect that readers have prior training on these models because some of them require strong mathematical foundation. Through the examples, readers can easily build their implementable analytics and apply similar skills to other complex models.
Feedbacks from professors, students, analysts, and risk professionals are warmly welcome.
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