Financial Simulation Modeling in Excel (eBook)

A Step-by-Step Guide

Keith A. Allman, Josh Laurito, Michael Loh (Autoren)

eBook Download: PDF | EPUB

2011 | 1. Auflage
216 Seiten
John Wiley & Sons (Verlag)
978-1-118-13720-8 (ISBN)

Infos

"I've worked with simulation in business for over 20 years, and
Allman really nails it with this book. I admit that I own his
previous book on structured finance cash flows, but I was surprised
by what I found in here. He addresses the fundamental questions of
how decision makers react to simulations and his read was very much
in accordance with what I've experienced myself. When it came to
the nuts and bolts of describing the different types of simulation
analysis the book becomes incredibly detailed. There is working
code and models for a fantastic array of the most common simulation
problems. If you're so inclined, the book very carefully steps
through the tricky math needed to really understand the theory
behind stochastic modeling in finance. If you're preparing models
that include any kind of randomization or stochastic modeling
component, this book is a must-read, a tremendous value and
time-saver." -- David Brode of The Brode Group

A practical guide to understanding and implementing financial
simulation modeling

As simulation techniques become more popular among the financial
community and a variety of sub-industries, a thorough understanding
of theory and implementation is critical for practitioners involved
in portfolio management, risk management, pricing, and capital
budgeting. Financial Simulation Modeling in Excel contains
the information you need to make the most informed decisions
possible in your professional endeavors.

Financial Simulation Modeling in Excel contains a
practical, hands-on approach to learning complex financial
simulation methodologies using Excel and VBA as a medium. Crafted
in an easy to understand format, this book is suitable for anyone
with a basic understanding of finance and Excel. Filled with
in-depth insights and expert advice, each chapter takes you through
the theory behind a simulation topic and the implementation of that
same topic in Excel/VBA in a step-by-step manner.

* Organized in an easy-to-follow fashion, this guide effectively
walks you through the process of creating and implementing risk
models in Excel

* A companion website contains all the Excel models risk experts
and quantitative analysts need to practice and confirm their
results as they progress

* Keith Allman is the author of other successful modeling books,
including Corporate Valuation Modeling and Modeling
Structured Finance Cash Flows with Microsoft Excel

Created for those with some background in finance and experience
in Excel, this reliable resource shows you how to effectively
perform sound financial simulation modeling, even if you've yet to
do extensive modeling up to this point in your professional or
academic career.

Autor

Keith A. Allman is an investment manager at Bamboo Finance, a private equity fund that invests in for-profit, commercially viable companies that provide a good or service that beneficially impacts the lives of low-income individuals. Previously, he was the director of analytics and modeling at Pearl Street Capital Group. Allman also founded Enstruct, which services clients worldwide in capital markets and equity valuation, distressed valuation, and quantitative-based training. He is the author of the Wiley titles Corporate Valuation Modeling, Modeling Structured Finance Cash Flows with Microsoft® Excel®, and Reverse Engineering Deals on Wall Street with Microsoft® Excel®. Allman holds bachelor degrees from UCLA and a master's degree from Columbia University. Josh Laurito, CFA, is a co-founder and Principal of Lumesis, a leading provider of credit analysis software and solutions to the municipal finance market. In addition, he directs corporate modeling for Hexagon Securities, a boutique merchant bank that advises and invests in banks and specialty finance companies. MichaelL Loh currently works for Tech-X Corporation where he is actively engaged in complex data management and high-performance computing using accelerated hardware. Prior to Tech-X, Loh developed and implemented financial models at RangeMark Financial Services

Inhalt

Preface vii

Acknowledgments xi

About the Authors xiii

CHAPTER 1 Introduction 1

CHAPTER 2 Random Numbers, Distributions, and Basic Simulation
Setup 13

CHAPTER 3 Correlation 47

CHAPTER 4 Option Pricing 65

CHAPTER 5 Corporate Default Simulation 95

CHAPTER 6 Simulating Pools of Assets 127

CHAPTER 7 Dealing with Data Deficiencies and Other Issues
153

CHAPTER 8 Advanced Topics and Further Reading 169

APPENDIX A Partial Differential Equations 175

APPENDIX B Newton-Raphson Method 183

References 187

Index 189

Produkt-Details

• Erscheint lt. Verlag: 2.9.2011
• Reihe/Serie: Wiley Finance Editions
• Reihe/Serie: Wiley Finance Editions
• Sprache: englisch
• Themenwelt: Informatik ► Office Programme ► Excel
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Institutional & Corporate Finance • Institutionelle Finanzplanung
• ISBN-10: 1-118-13720-5 / 1118137205
• ISBN-13: 978-1-118-13720-8 / 9781118137208