Financial modelling in practice: a concise guide for intermediate and advanced level
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2008
|
| Schriftenreihe: | The Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 270 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 9780470997444 0470997443 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035188844 | ||
| 003 | DE-604 | ||
| 005 | 20081218 | ||
| 007 | t | ||
| 008 | 081201s2008 ad|| |||| 00||| eng d | ||
| 015 | |a GBA866193 |2 dnb | ||
| 020 | |a 9780470997444 |c (hbk.) |9 978-0-470-99744-4 | ||
| 020 | |a 0470997443 |c (hbk.) |9 0-470-99744-3 | ||
| 035 | |a (OCoLC)253634139 | ||
| 035 | |a (DE-599)HBZHT015744164 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-703 |a DE-2070s | ||
| 050 | 0 | |a HG106 | |
| 082 | 0 | |a 332.01/51 |2 22 | |
| 084 | |a QP 700 |0 (DE-625)141926: |2 rvk | ||
| 100 | 1 | |a Rees, Michael |d 1964- |e Verfasser |0 (DE-588)136694659 |4 aut | |
| 245 | 1 | 0 | |a Financial modelling in practice |b a concise guide for intermediate and advanced level |c Michael Rees |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2008 | |
| 300 | |a XVII, 270 S. |b Ill., graph. Darst. |e 1 CD-ROM (12 cm) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a The Wiley finance series | |
| 630 | 0 | 4 | |a Microsoft Excel (Computer file) |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016995490&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016995490 | ||
Datensatz im Suchindex
| _version_ | 1804138366037393408 |
|---|---|
| adam_text | Contents
Background, Objectives and Approach xv
About the Author xix
Acknowledgements xxi
1 Building Blocks: Selected Excel Functions and Tools 1
Core Functions for Financial Modelling 1
Arithmetic Operations 1
Example: PRODUCT 1
Example: SUBTOTAL 2
Example: SUMPRODUCT 3
Logical Operations 3
Example: AND 5
Example: SUMIF 5
Financial Calculations 6
Example: IRR 8
Example: LN 9
Example: NPV 11
Example: PMT and PPMT 11
Database Functions, Features and Pivot Tables 12
Example: Database Queries using DSUM and other Database
Functions 13
Example: Filtering 14
Example: Tables in Excel 2007 14
Example: Advanced Filtering 15
Example: PivotTables I5
Statistical Functions 16
Example: Measuring Volatility using STDEV 18
Example: Correlation, Covariance, and fi using CORREL,
COVAR, SLOPE 19
Example: Rank Correlation using RANK and CORREL 19
Example: Automatic Sorting of Data using LARGE 20
Contents
Lookup and Reference Functions 20
Example: Finding Equivalent Values using MATCH 22
Example: Volume Discounts using HLOOKUP 22
Example: Currency Conversion I-using VLOOKUP 23
Example: Currency Conversion II-using INDEX(MATCH) 23
Example: Two-Dimensional Look-Up using INDEX(MATCH) 24
Example: Variance-Covariance Matrices using H- and VLOOKUP 25
Example: Time Axis as a Variable using OFFSET or INDEX 26
Example: Transposing References using OFFSET 28
Example: Flexible Ranges using INDEX, OFFSET and INDIRECT 28
Example: Flexible Correlation Matrix using OFFSET 29
Text Functions 29
Example: Manipulating Data I using TEXT, MID and VALUE 30
Example: Manipulating Data II using SEARCH, MID and VALUE 31
Example: Updating Text Labels and Graph Titles using TEXT 31
Information Functions 33
Example: Summing a Range using IFERROR 34
Example: Updating Labels using CELL 34
Array Functions, Formulae and Matrix Calculations 35
Example: SUMPRODUCT using SUM as an Array Formula 36
Example: Histogram of Returns using FREQUENCY 36
Example: Capex and Depreciation Schedules using TRANSPOSE 38
Example: Cost Allocation using TRANSPOSE 38
Example: Matrix Multiplication using MMULT and TRANPOSE 39
GoalSeek and Solver 40
Example: Required Growth Rate using GoalSeek 40
Example: Implied Volatility using GoalSeek 41
Example: Portfolio Optimisation using Solver 42
The Analysis ToolPak and Other Add-ins 43
The Analysis ToolPak 44
Example: Correlation Matrices Revisited 45
Example: Complex Conditional Sums using the Conditional Sum
Wizard 45
Selected Excel Short-cuts 47
Principles of Modelling 49
What is a Good Model? 49
Model Design 50
Selection of Model Variables and their Dependencies 50
Example: Variable Selection I 51
Example: Variable Selection II 53
Example: Variable Selection in 54
Hyper Sensitivity to a Variable 55
Level of Detail or Aggregation 55
Example: Choices in Model Detail 1 56
Example: Choices in Model Detail 2 57
Contents
Example: Choices in Model Detail 3 58
Granularity of the Time Axis 59
Model Structure and Planning 60
Logical Row 60
Compactness 62
Multiple Worksheet Models 62
Linked Workbooks 63
Named Ranges 64
Uses and Benefits 64
Potential Disadvantages 66
Choosing Names 68
Example: Implementing the Black-Scholes Formula 68
Example: Working with Databases and Dynamic Ranges 69
Circular References 69
Advantages and Disadvantages 71
Avoiding Circularities 72
Example: Convergent Circularities 72
Example: Divergent Circularities 72
Example: Floating Circularities 73
Model Building 74
Formatting and Comments 74
General Guidelines 74
Conditional and Custom Formatting 76
The Use of Comments 77
Creating Robust Formulae 78
Simple Formulae 78
Complex Formulae 79
Example: One-off Sensitivity Analysis 80
Restricting Input Values using Data Validation 83
Example: Robust Compound Formulae 84
Results Presentation and Other Uses of Sensitivity Analysis 85
General Remarks on Presentation 86
Using Data Tables to Conduct Sensitivity Analysis 86
Creating and Modifying Data Tables 86
Example: Displaying Sensitivities and Checking Formulae 87
Limitations of Data Tables 88
Example: Sensitivity to a Switch 90
Example: Scenarios using Lookup Functions 90
Example: Variance Analysis 92
Hiding and Protecting Models 92
Model Auditing 94
Avoiding Unintentional Changes 94
Developing a General Overview 94
Understanding the Details and Logical How 95
Testing and Checking the Formulae 96
Improving the Model 96
Auditing and Restructuring Issues with Lookup functions 98
Contents
3 Financial Statement, Cash Flow and Valuation Modelling 99
Financial Statement Modelling: Core Points and Example 99
General Comments 100
Income Statement Forecasting 102
Sales Forecasts 102
Nominal or Real Values 102
Cost Forecasts 103
Depreciation and Fixed Assets 104
Operating Profit 105
Interest Expense and Income 105
Taxable Profit, Tax and Net Income 105
Dividends and Retained Earnings 106
Other Items 106
Balance Sheet Forecasting 107
Fixed Assets 107
Inventory, Receivables and Payables and Planned Cash 107
Other Assets 108
Short-Term Investments, Short-Term Debt and Balancing Items 108
Taxes and Dividends 108
Long-Term Debt 108
Equity 109
Other Liabilities 109
Balancing the Balance Sheet 109
Cash Flow Statement Forecasting 110
Error Checks and Feasibility Checks 111
General Error Checking Tools 111
Using the Cash Flow Statement 111
Other Error Checking Tools 112
Feasibility Checking and Ratio Analysis 113
General Points 113
Key Ratios 113
NOPAT and Economic Profit 114
Adding Generality 116
Example: Debt or Cash Waterfalls and Financing Structures 117
Example: Deferred Tax Assets and Liabilities 118
Example: Depreciation and Debt Schedules 118
Example: Avoidance of Circular References 119
Cash Flow Valuation 120
Calculation of Free Cash Flow 121
Discounting Free Cash Flow 121
The Average Cost of Capital 122
The Capital Asset Pricing Model and the Cost of Equity and Debt 122
Terminal Value Calculations 124
The Use of Fade Periods and the Return on Capital 125
Valuation of a Perpetuity for the Terminal Value 126
Example: Valuation of the Basic Financial Statement Model 127
Further Adjustments 128
Contents
Sensitivity Analysis 129
Long-Term Growth and Economic Profit Assumptions 129
Comparison with Other Valuation Methods 129
Risk Modelling 133
Benefits and Challenges of Risk Modelling 133
Reflection of Uncertainty in Decision-Making 133
Robustness of Modelling Process and Improved Communication 134
Combinations and Probabilities 134
Contingent Claims and Non-linear Behaviours 135
Limitations of Traditional Excel Structures 135
Challenges in using Risk Analysis Results 135
The Risk Modelling Process 135
Defining Risk and Risk Analysis 135
Building a Risk Model 136
An Introduction to Simulation Techniques 136
The Language of Probability Distributions 137
Continuous and Discrete Distributions 137
Density and Cumulative Curves 137
Measures of the Central Point 138
Measures of the Spread and of Risk 139
Measures of Symmetry 140
Measures of Peakedness and Fat Tails 141
Quick Guide to using @RISK 142
Example: Cost Budgeting and Contingency Planning 143
Types of Dependency Relationships in Risk Models 144
Semi-Dependence and Parameter Dependency 145
Correlation and Correlated Sampling 145
Example: The Effects of Dependency Relationships 146
The Selection and Use of Distributions 147
Pragmatic Approaches and Distributions 148
The Uniform Continuous Distribution 149
The Triangular Distribution 149
The PERT Distribution 149
Alternate Parameter Methods 150
The Binomial Distribution 150
Example: Risk Registers 151
The Discrete Distribution 152
Data-Driven Approaches and Distributions 153
Distribution Fitting 153
Example: Goals in a Soccer Game 154
Re-sampling of Historic Data 154
Example: Stock Market Daily Changes 155
Scientific Approaches and Distributions: The Basics 155
Example: Sum and Product of Distributions 157
The Normal Distribution 157
The Lognormal Distribution 159
Contents
Example: Price Forecasting 160
The Poisson Distribution 161
Further Aspects of the Science of Distributions 163
Distributions of Waiting Time 164
Distributions of Parameter Uncertainty 165
Further Example Models 167
Example: Generalisations of Cost Budgeting 167
Example: Discounted Cash Flow 168
Example: Financial Statement Modelling 169
Example: Mean-Reverting Processes 170
Example: Markov Chains 171
Example: Insurance Losses and Frequency-Severity Modelling 172
Example: Optimisation of Factory Capacity 173
Example: Quality Control 174
Example: Economic Production Life 175
Example: Uncertain Timing in Revenue Planning 176
Example: Project Schedule Risk 177
5 Introduction to Options and Real Options Modelling 181
Financial Market Derivatives: An Introduction 181
Example: Valuation using Hedged Portfolio 181
Example: Risk-Neutral Valuation 183
Example: Options Valuation using Binomial Trees 185
Example: Option Valuation using Simulation 185
The Black-Scholes Equation and Formulae 186
American Options and Optimal Exercise 188
Example: Optimal Exercise of American Options using
Binomial Trees 188
Real Options Modelling 188
Uses and Relationships to Other Types of Analysis 189
Links to Decision-Making under Uncertainty 190
Links to Traditional Net Present Value Analysis 190
Links to Financial Market Derivatives: Similarities and
Differences 191
Discount Rates for Real Options 192
Examples using Simulation 192
Example: Basic Valuation 193
Example: Penalties in a Service Level Agreement 194
Example: Switching Option for a Dual Fuel Machine 195
Examples using Trees 196
Use of Trees to Capture Optimal Exercise 196
Example: Basic Decision with Flexibility 197
Example: Project Phasing 198
Example: Bayesian Analysis and Imperfect Information 199
Example: Project Phasing with Perfect and Imperfect
Information 200
Contents xiii
VBA for Financial Modelling 203
Introduction 203
The Bare Essentials 204
Creating Code using the Visual Basic Editor 204
Running and Using Code 206
Simple Examples 208
Example: Writing Numbers into Excel 208
Example: Using Values from Excel in the Code 208
Example: Clearing Contents 209
Example: Communicating with the User using InputBox and MsgBox 210
Example: A Basic User-Defined Function 211
Building Blocks 212
Working with Ranges 212
Full Referencing and the Use of With... End With 212
The Range, Cells and Offset Properties 214
Selecting Ranges 215
Named Ranges and the Set Statement 217
Writing Robust Code 220
From the Specific to the General 220
Comments and Indented Text 220
Data Types and Variable Declaration 221
Working with Arrays 222
Choice of Names 223
Further Topics 224
Object Orientation: An Introduction 224
Example: Use of For Each ... Next with Collections 224
Example: Workbook Events 226
Controlling Execution and Related Topics 227
For... Next Loop 227
For Each... Next 228
If... Then 228
Displaying Alerts 229
Screen Updating 229
Measuring Run Time 230
Working with Functions 230
Worksheet and VBA Functions 230
Model Recalculation and Volatile Functions 231
Checking and Debugging Code 232
Core Techniques 232
Debugging Functions 233
Dealing with Errors: An Introduction 234
Examples: Recording Macros and Related Topics 235
Introduction 235
The Personal Macro Workbook 236
Example: Copying and Pasting Data 236
Using GoalSeek and Solver 237
Example: GoalSeek for Calculation of Implied Volatility 237
xiv Contents
Example: Using Solver to Generate the Optimal Portfolio 238
Examples: Simulation Modelling 240
Introduction 240
Sampling Revisited 240
Possibilities for Model Structure 241
Example: Cash Flow 242
Examples: User-defined Functions 243
Creating Functions 243
Examples 244
Example: Black-Scholes Formula for a European Option 244
Example: Option Valuation using a Binomial Tree 245
Example: Rank Order Correlation 245
Example: Correlation Matrices 246
Exercise: Standard Deviation and Higher Moments of a Data Set 246
Example: Summing Inverse Squares 247
Structure and Organisation: Further Topics 248
Running Subroutines using Shapes and Other Icons 248
Executing Procedures from Other Procedures: An Overview 249
Creating and Using Add-ins 252
Further Reading 253
Index 255
|
| adam_txt |
Contents
Background, Objectives and Approach xv
About the Author xix
Acknowledgements xxi
1 Building Blocks: Selected Excel Functions and Tools 1
Core Functions for Financial Modelling 1
Arithmetic Operations 1
Example: PRODUCT 1
Example: SUBTOTAL 2
Example: SUMPRODUCT 3
Logical Operations 3
Example: AND 5
Example: SUMIF 5
Financial Calculations 6
Example: IRR 8
Example: LN 9
Example: NPV 11
Example: PMT and PPMT 11
Database Functions, Features and Pivot Tables 12
Example: Database Queries using DSUM and other Database
Functions 13
Example: Filtering 14
Example: Tables in Excel 2007 14
Example: Advanced Filtering 15
Example: PivotTables I5
Statistical Functions 16
Example: Measuring Volatility using STDEV 18
Example: Correlation, Covariance, and fi using CORREL,
COVAR, SLOPE 19
Example: Rank Correlation using RANK and CORREL 19
Example: Automatic Sorting of Data using LARGE 20
Contents
Lookup and Reference Functions 20
Example: Finding Equivalent Values using MATCH 22
Example: Volume Discounts using HLOOKUP 22
Example: Currency Conversion I-using VLOOKUP 23
Example: Currency Conversion II-using INDEX(MATCH) 23
Example: Two-Dimensional Look-Up using INDEX(MATCH) 24
Example: Variance-Covariance Matrices using H- and VLOOKUP 25
Example: Time Axis as a Variable using OFFSET or INDEX 26
Example: Transposing References using OFFSET 28
Example: Flexible Ranges using INDEX, OFFSET and INDIRECT 28
Example: Flexible Correlation Matrix using OFFSET 29
Text Functions 29
Example: Manipulating Data I using TEXT, MID and VALUE 30
Example: Manipulating Data II using SEARCH, MID and VALUE 31
Example: Updating Text Labels and Graph Titles using TEXT 31
Information Functions 33
Example: Summing a Range using IFERROR 34
Example: Updating Labels using CELL 34
Array Functions, Formulae and Matrix Calculations 35
Example: SUMPRODUCT using SUM as an Array Formula 36
Example: Histogram of Returns using FREQUENCY 36
Example: Capex and Depreciation Schedules using TRANSPOSE 38
Example: Cost Allocation using TRANSPOSE 38
Example: Matrix Multiplication using MMULT and TRANPOSE 39
GoalSeek and Solver 40
Example: Required Growth Rate using GoalSeek 40
Example: Implied Volatility using GoalSeek 41
Example: Portfolio Optimisation using Solver 42
The Analysis ToolPak and Other Add-ins 43
The Analysis ToolPak 44
Example: Correlation Matrices Revisited 45
Example: Complex Conditional Sums using the Conditional Sum
Wizard 45
Selected Excel Short-cuts 47
Principles of Modelling 49
What is a Good Model? 49
Model Design 50
Selection of Model Variables and their Dependencies 50
Example: Variable Selection I 51
Example: Variable Selection II 53
Example: Variable Selection in 54
Hyper Sensitivity to a Variable 55
Level of Detail or Aggregation 55
Example: Choices in Model Detail 1 56
Example: Choices in Model Detail 2 57
Contents
Example: Choices in Model Detail 3 58
Granularity of the Time Axis 59
Model Structure and Planning 60
Logical Row 60
Compactness 62
Multiple Worksheet Models 62
Linked Workbooks 63
Named Ranges 64
Uses and Benefits 64
Potential Disadvantages 66
Choosing Names 68
Example: Implementing the Black-Scholes Formula 68
Example: Working with Databases and Dynamic Ranges 69
Circular References 69
Advantages and Disadvantages 71
Avoiding Circularities 72
Example: Convergent Circularities 72
Example: Divergent Circularities 72
Example: Floating Circularities 73
Model Building 74
Formatting and Comments 74
General Guidelines 74
Conditional and Custom Formatting 76
The Use of Comments 77
Creating Robust Formulae 78
Simple Formulae 78
Complex Formulae 79
Example: One-off Sensitivity Analysis 80
Restricting Input Values using Data Validation 83
Example: Robust Compound Formulae 84
Results Presentation and Other Uses of Sensitivity Analysis 85
General Remarks on Presentation 86
Using Data Tables to Conduct Sensitivity Analysis 86
Creating and Modifying Data Tables 86
Example: Displaying Sensitivities and Checking Formulae 87
Limitations of Data Tables 88
Example: Sensitivity to a Switch 90
Example: Scenarios using Lookup Functions 90
Example: Variance Analysis 92
Hiding and Protecting Models 92
Model Auditing 94
Avoiding Unintentional Changes 94
Developing a General Overview 94
Understanding the Details and Logical How 95
Testing and Checking the Formulae 96
Improving the Model 96
Auditing and Restructuring Issues with Lookup functions 98
Contents
3 Financial Statement, Cash Flow and Valuation Modelling 99
Financial Statement Modelling: Core Points and Example 99
General Comments 100
Income Statement Forecasting 102
Sales Forecasts 102
Nominal or Real Values 102
Cost Forecasts 103
Depreciation and Fixed Assets 104
Operating Profit 105
Interest Expense and Income 105
Taxable Profit, Tax and Net Income 105
Dividends and Retained Earnings 106
Other Items 106
Balance Sheet Forecasting 107
Fixed Assets 107
Inventory, Receivables and Payables and Planned Cash 107
Other Assets 108
Short-Term Investments, Short-Term Debt and Balancing Items 108
Taxes and Dividends 108
Long-Term Debt 108
Equity 109
Other Liabilities 109
Balancing the Balance Sheet 109
Cash Flow Statement Forecasting 110
Error Checks and Feasibility Checks 111
General Error Checking Tools 111
Using the Cash Flow Statement 111
Other Error Checking Tools 112
Feasibility Checking and Ratio Analysis 113
General Points 113
Key Ratios 113
NOPAT and Economic Profit 114
Adding Generality 116
Example: Debt or Cash Waterfalls and Financing Structures 117
Example: Deferred Tax Assets and Liabilities 118
Example: Depreciation and Debt Schedules 118
Example: Avoidance of Circular References 119
Cash Flow Valuation 120
Calculation of Free Cash Flow 121
Discounting Free Cash Flow 121
The Average Cost of Capital 122
The Capital Asset Pricing Model and the Cost of Equity and Debt 122
Terminal Value Calculations 124
The Use of Fade Periods and the Return on Capital 125
Valuation of a Perpetuity for the Terminal Value 126
Example: Valuation of the Basic Financial Statement Model 127
Further Adjustments 128
Contents
Sensitivity Analysis 129
Long-Term Growth and Economic Profit Assumptions 129
Comparison with Other Valuation Methods 129
Risk Modelling 133
Benefits and Challenges of Risk Modelling 133
Reflection of Uncertainty in Decision-Making 133
Robustness of Modelling Process and Improved Communication 134
Combinations and Probabilities 134
Contingent Claims and Non-linear Behaviours 135
Limitations of Traditional Excel Structures 135
Challenges in using Risk Analysis Results 135
The Risk Modelling Process 135
Defining Risk and Risk Analysis 135
Building a Risk Model 136
An Introduction to Simulation Techniques 136
The Language of Probability Distributions 137
Continuous and Discrete Distributions 137
Density and Cumulative Curves 137
Measures of the Central Point 138
Measures of the Spread and of Risk 139
Measures of Symmetry 140
Measures of Peakedness and Fat Tails 141
Quick Guide to using @RISK 142
Example: Cost Budgeting and Contingency Planning 143
Types of Dependency Relationships in Risk Models 144
Semi-Dependence and Parameter Dependency 145
Correlation and Correlated Sampling 145
Example: The Effects of Dependency Relationships 146
The Selection and Use of Distributions 147
Pragmatic Approaches and Distributions 148
The Uniform Continuous Distribution 149
The Triangular Distribution 149
The PERT Distribution 149
Alternate Parameter Methods 150
The Binomial Distribution 150
Example: Risk Registers 151
The Discrete Distribution 152
Data-Driven Approaches and Distributions 153
Distribution Fitting 153
Example: Goals in a Soccer Game 154
Re-sampling of Historic Data 154
Example: Stock Market Daily Changes 155
Scientific Approaches and Distributions: The Basics 155
Example: Sum and Product of Distributions 157
The Normal Distribution 157
The Lognormal Distribution 159
Contents
Example: Price Forecasting 160
The Poisson Distribution 161
Further Aspects of the Science of Distributions 163
Distributions of Waiting Time 164
Distributions of Parameter Uncertainty 165
Further Example Models 167
Example: Generalisations of Cost Budgeting 167
Example: Discounted Cash Flow 168
Example: Financial Statement Modelling 169
Example: Mean-Reverting Processes 170
Example: Markov Chains 171
Example: Insurance Losses and Frequency-Severity Modelling 172
Example: Optimisation of Factory Capacity 173
Example: Quality Control 174
Example: Economic Production Life 175
Example: Uncertain Timing in Revenue Planning 176
Example: Project Schedule Risk 177
5 Introduction to Options and Real Options Modelling 181
Financial Market Derivatives: An Introduction 181
Example: Valuation using Hedged Portfolio 181
Example: Risk-Neutral Valuation 183
Example: Options Valuation using Binomial Trees 185
Example: Option Valuation using Simulation 185
The Black-Scholes Equation and Formulae 186
American Options and Optimal Exercise 188
Example: Optimal Exercise of American Options using
Binomial Trees 188
Real Options Modelling 188
Uses and Relationships to Other Types of Analysis 189
Links to Decision-Making under Uncertainty 190
Links to Traditional Net Present Value Analysis 190
Links to Financial Market Derivatives: Similarities and
Differences 191
Discount Rates for Real Options 192
Examples using Simulation 192
Example: Basic Valuation 193
Example: Penalties in a Service Level Agreement 194
Example: Switching Option for a Dual Fuel Machine 195
Examples using Trees 196
Use of Trees to Capture Optimal Exercise 196
Example: Basic Decision with Flexibility 197
Example: Project Phasing 198
Example: Bayesian Analysis and Imperfect Information 199
Example: Project Phasing with Perfect and Imperfect
Information 200
Contents xiii
VBA for Financial Modelling 203
Introduction 203
The Bare Essentials 204
Creating Code using the Visual Basic Editor 204
Running and Using Code 206
Simple Examples 208
Example: Writing Numbers into Excel 208
Example: Using Values from Excel in the Code 208
Example: Clearing Contents 209
Example: Communicating with the User using InputBox and MsgBox 210
Example: A Basic User-Defined Function 211
Building Blocks 212
Working with Ranges 212
Full Referencing and the Use of With. End With 212
The Range, Cells and Offset Properties 214
Selecting Ranges 215
Named Ranges and the Set Statement 217
Writing Robust Code 220
From the Specific to the General 220
Comments and Indented Text 220
Data Types and Variable Declaration 221
Working with Arrays 222
Choice of Names 223
Further Topics 224
Object Orientation: An Introduction 224
Example: Use of For Each . Next with Collections 224
Example: Workbook Events 226
Controlling Execution and Related Topics 227
For. Next Loop 227
For Each. Next 228
If. Then 228
Displaying Alerts 229
Screen Updating 229
Measuring Run Time 230
Working with Functions 230
Worksheet and VBA Functions 230
Model Recalculation and Volatile Functions 231
Checking and Debugging Code 232
Core Techniques 232
Debugging Functions 233
Dealing with Errors: An Introduction 234
Examples: Recording Macros and Related Topics 235
Introduction 235
The Personal Macro Workbook 236
Example: Copying and Pasting Data 236
Using GoalSeek and Solver 237
Example: GoalSeek for Calculation of Implied Volatility 237
xiv Contents
Example: Using Solver to Generate the Optimal Portfolio 238
Examples: Simulation Modelling 240
Introduction 240
Sampling Revisited 240
Possibilities for Model Structure 241
Example: Cash Flow 242
Examples: User-defined Functions 243
Creating Functions 243
Examples 244
Example: Black-Scholes Formula for a European Option 244
Example: Option Valuation using a Binomial Tree 245
Example: Rank Order Correlation 245
Example: Correlation Matrices 246
Exercise: Standard Deviation and Higher Moments of a Data Set 246
Example: Summing Inverse Squares 247
Structure and Organisation: Further Topics 248
Running Subroutines using Shapes and Other Icons 248
Executing Procedures from Other Procedures: An Overview 249
Creating and Using Add-ins 252
Further Reading 253
Index 255 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Rees, Michael 1964- |
| author_GND | (DE-588)136694659 |
| author_facet | Rees, Michael 1964- |
| author_role | aut |
| author_sort | Rees, Michael 1964- |
| author_variant | m r mr |
| building | Verbundindex |
| bvnumber | BV035188844 |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106 |
| callnumber-search | HG106 |
| callnumber-sort | HG 3106 |
| callnumber-subject | HG - Finance |
| classification_rvk | QP 700 |
| ctrlnum | (OCoLC)253634139 (DE-599)HBZHT015744164 |
| dewey-full | 332.01/51 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/51 |
| dewey-search | 332.01/51 |
| dewey-sort | 3332.01 251 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01420nam a2200373 c 4500</leader><controlfield tag="001">BV035188844</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20081218 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">081201s2008 ad|| |||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">GBA866193</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780470997444</subfield><subfield code="c">(hbk.)</subfield><subfield code="9">978-0-470-99744-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0470997443</subfield><subfield code="c">(hbk.)</subfield><subfield code="9">0-470-99744-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)253634139</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)HBZHT015744164</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield><subfield code="a">DE-2070s</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG106</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.01/51</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 700</subfield><subfield code="0">(DE-625)141926:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Rees, Michael</subfield><subfield code="d">1964-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)136694659</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Financial modelling in practice</subfield><subfield code="b">a concise guide for intermediate and advanced level</subfield><subfield code="c">Michael Rees</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hoboken, NJ</subfield><subfield code="b">Wiley</subfield><subfield code="c">2008</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 270 S.</subfield><subfield code="b">Ill., graph. Darst.</subfield><subfield code="e">1 CD-ROM (12 cm)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">The Wiley finance series</subfield></datafield><datafield tag="630" ind1="0" ind2="4"><subfield code="a">Microsoft Excel (Computer file)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016995490&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016995490</subfield></datafield></record></collection> |
| id | DE-604.BV035188844 |
| illustrated | Illustrated |
| index_date | 2024-07-02T23:00:58Z |
| indexdate | 2024-07-09T21:27:02Z |
| institution | BVB |
| isbn | 9780470997444 0470997443 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016995490 |
| oclc_num | 253634139 |
| open_access_boolean | |
| owner | DE-703 DE-2070s |
| owner_facet | DE-703 DE-2070s |
| physical | XVII, 270 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Wiley finance series |
| spelling | Rees, Michael 1964- Verfasser (DE-588)136694659 aut Financial modelling in practice a concise guide for intermediate and advanced level Michael Rees Hoboken, NJ Wiley 2008 XVII, 270 S. Ill., graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier The Wiley finance series Microsoft Excel (Computer file) Mathematisches Modell Finance Mathematical models HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016995490&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rees, Michael 1964- Financial modelling in practice a concise guide for intermediate and advanced level Microsoft Excel (Computer file) Mathematisches Modell Finance Mathematical models |
| title | Financial modelling in practice a concise guide for intermediate and advanced level |
| title_auth | Financial modelling in practice a concise guide for intermediate and advanced level |
| title_exact_search | Financial modelling in practice a concise guide for intermediate and advanced level |
| title_exact_search_txtP | Financial modelling in practice a concise guide for intermediate and advanced level |
| title_full | Financial modelling in practice a concise guide for intermediate and advanced level Michael Rees |
| title_fullStr | Financial modelling in practice a concise guide for intermediate and advanced level Michael Rees |
| title_full_unstemmed | Financial modelling in practice a concise guide for intermediate and advanced level Michael Rees |
| title_short | Financial modelling in practice |
| title_sort | financial modelling in practice a concise guide for intermediate and advanced level |
| title_sub | a concise guide for intermediate and advanced level |
| topic | Microsoft Excel (Computer file) Mathematisches Modell Finance Mathematical models |
| topic_facet | Microsoft Excel (Computer file) Mathematisches Modell Finance Mathematical models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016995490&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT reesmichael financialmodellinginpracticeaconciseguideforintermediateandadvancedlevel |