Excel modeling and estimation in investments:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Upper Saddle River, NJ
Pearson Education International
2009
|
| Ausgabe: | 3. ed., [Internat. ed.] |
| Schriftenreihe: | Prentice-Hall series in finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 235 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 9780132079907 0132079909 9780136025603 0136025609 |
Internformat
MARC
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| 100 | 1 | |a Holden, Craig W. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Excel modeling and estimation in investments |c Craig W. Holden |
| 250 | |a 3. ed., [Internat. ed.] | ||
| 264 | 1 | |a Upper Saddle River, NJ |b Pearson Education International |c 2009 | |
| 300 | |a XVI, 235 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 Prentice-Hall series in finance | |
| 650 | 7 | |a Investissements - Informatique |2 ram | |
| 650 | 7 | |a Tableurs |2 ram | |
| 650 | 4 | |a Datenverarbeitung | |
| 650 | 4 | |a Electronic spreadsheets | |
| 650 | 4 | |a Investments |x Data processing | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-017638607 | ||
Datensatz im Suchindex
| _version_ | 1804139242364862464 |
|---|---|
| adam_text | Contents
iii
CONTENTS
Preface
.....................................................................................
vii
Third Edition Changes
....................................................................................
vii
What Is Unique About This Book
.....................................................................
χ
Conventions Used In This Book
.....................................................................xii
Craig s Challenge
...........................................................................................xiii
The Excel Modeling and Estimation Series
..................................................xiii
Suggestions for Faculty Members
..................................................................xiv
Acknowledgements
...........................................................................................xv
About The Author
................................................................. xvi
PART
1
BONDS
/
FIXED INCOME
SECURITIES
.„..........................................1
Chapter
1
Bond Pricing
............................................................1
1.1
Annual Payments
..........................................................................................1
1.2
EAR and APR
...............................................................................................2
1.3
By Yield To Maturity
..................................................................................3
1.4
Dynamic Chart
.............................................................................................4
1.5
System of Five Bond Variables
...................................................................5
Problems
..............................................................................................................7
Chapter
2
Bond Duration
.........................................................8
2.1
Basics
.............................................................................................................8
2.2
Price Sensitivity using Duration
................................................................10
2.3
Dynamic Chart
............................................................................................12
Problems
............................................................................................................14
Chapter
3
Bond Convexity
.....................................................15
3.1
Basics
...........................................................................................................15
3.2
Price Sensitivity Including Convexity
.......................................................16
3.3
Dynamic Chart.
...........................................................................................19
Problems
............................................................................................................21
Chapter
4
The Yield Curve
....................................................22
4.1
Obtaining It From Treasury Bills and Strips
..........................................22
4.2
Using It To Price A Coupon Bond
............................................................23
4.3
Using It To Determine Forward Rates
....................................................25
Problems
............................................................................................................26
Chapter
5
US Yield Curve Dynamics
..................................27
5.1
Dynamic Chart
...........................................................................................27
Problems
............................................................................................................33
Chapter
6
Affine
Yield Curve Models
.................................35
6.1
The Vasicek Model
....................................................................................35
6.2
The Cox-Ingersoll-Ross Model
.................................................................38
Problems
............................................................................................................40
iv Contents
PART
2 STOCKS /
SECURITY
ANALYSIS
...............................................41
Chapter
7
Portfolio Optimization
........................................41
7.1
Two Risky Assets and a Riskfree Asset
...................................................41
7.2
Descriptive Statistics
.................................................................................44
7.3
Many Risky Assets and a Riskfree Asset
.................................................49
Problems
............................................................................................................60
Chapter
8
Constrained Portfolio Optimization
..................62
8.1
No Short Sales, No Borrowing, and Other Constraints
.........................62
Problems
............................................................................................................78
Chapter
9
Asset Pricing
.........................................................79
9.1
Static
С АРМ
Using Fama-MacBeth Method
..........................................79
9.2
APT or
Intertemporal
САРМ
Using Fama-McBeth Method
................84
Problems
............................................................................................................91
Chapter
10
Trading Simulations using @RISK
.................93
10.1
Trader Simulation
...................................................................................93
10.2
Dealer Simulation
..................................................................................109
Chapter
11
Portfolio Diversification Lowers Risk
..........127
11.1
Basics
......................................................................................................127
11.2
International
..........................................................................................129
Problems
..........................................................................................................131
Chapter
12
Life-Cycle Financial Planning
.......................132
12.1
Basics
......................................................................................................132
12.2
Full-Scale Estimation
............................................................................134
Problems
..........................................................................................................142
Chapter
13
Dividend Discount Models
.............................143
13.1
Dividend Discount Model
......................................................................143
Problems
..........................................................................................................144
Chapter
14
Du Pont
System Of Ratio Analysis
................145
14.1
Basics
......................................................................................................145
Problems
..........................................................................................................146
PART3 OPTIONS
/
FUTURES
/
DERIVATIVES
.....................................147
Chapter
15
Option Payoffs and Profits
............................147
15.1
Basics
......................................................................................................147
Problems
..........................................................................................................149
Chapter
16
Option Trading Strategies
.............................150
16.1
Two Assets
..............................................................................................150
16.2
Four Assets
............................................................. [ .......................155
Problems
..........................................................................................................159
Chapter
17
Put-Call Parity
....................
IZZZľIZZ.
162
17.1
Basics
......................................................................................................162
17.2
Payoff Diagram
.............................................................]........................162
Problems
..........................................................................................................164
Contents
v
Chapter
18
Binomial Option Pricing
................................165
18.1
Estimating Volatility
.............................................................................165
18.2
Single Period
..........................................................................................166
18.3
Multi-Period
...........................................................................................169
18.4
Risk Neutral
.....;.....................................................................................174
18.5
American With Discrete Dividends
......................................................177
18.6
FuJl-Scale
................................................................................................181
Problems
..........................................................................................................189
Chapter
19
Black Scholes Option Pricing
.........................191
19.1
Basics
......................................................................................................191
19.2
Continuous Dividend
.............................................................................192
19.3
Greeks
.....................................................................................................195
19.4
Implied Volatility
...................................................................................201
19.5
Exotic Options
........................................................................................203
Problems
..........................................................................................................210
Chapter
20
Merton Corporate Bond Model
....................212
20.1
Two Methods
..........................................................................................212
20.2
Impact of Risk
........................................................................................214
Problems
..........................................................................................................215
Chapter
21
Spot-Futures Parity (Cost of Carry)
.............216
21.1
Basics
......................................................................................................216
21.2
Index Arbitrage
.....................................................................................218
Problems
..........................................................................................................219
Chapter
22
International Parity
........................................220
22.1
System of Four Parity Conditions
........................................................220
22.2
Estimating Future Exchange Rates
......................................................222
Problems
..........................................................................................................224
PART
4
EXCEL SKILLS
....................225
Chapter
23
Useful Excel Tricks
.........................................225
23.1
Quickly Delete The Instruction Boxes and Arrows
............................225
23.2
Freeze Panes
______..............................................................................225
23.3
Spin Buttons and the Developer Tab
...................................................226
23.4
Option Buttons and Group Boxes
........................................................227
23.5
Scroll Bar
................................................................................................229
23.6
Install Solver or the Analysis ToolPak
.................................................230
23.7
Format Painter
.......................................................................................230
23.8
Conditional Formatting
........................................................................231
23.9
Fill Handle
..............................................................................................232
23.10
2-D Scatter Chart
................................................................................232
23.11 3-D
Surface Chart
................................................................................234
Contents on CD
Ш
Readme.txt
ΐΒ
Excel Mod
Est in
Inv 3e.pdf
Ш
ChOl Bond Pricing.xlsx
TÜ
Ch
02
Bond Duration.xlsx
u Ch
03
Bond Convexity.xlsx
|
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| id | DE-604.BV035583233 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:40:58Z |
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| isbn | 9780132079907 0132079909 9780136025603 0136025609 |
| language | English |
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| physical | XVI, 235 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2009 |
| publishDateSearch | 2009 |
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| publisher | Pearson Education International |
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| series2 | Prentice-Hall series in finance |
| spelling | Holden, Craig W. Verfasser aut Excel modeling and estimation in investments Craig W. Holden 3. ed., [Internat. ed.] Upper Saddle River, NJ Pearson Education International 2009 XVI, 235 S. Ill., graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Prentice-Hall series in finance Investissements - Informatique ram Tableurs ram Datenverarbeitung Electronic spreadsheets Investments Data processing EXCEL (DE-588)4138932-3 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Modellierung (DE-588)4170297-9 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Investition (DE-588)4027556-5 s EXCEL (DE-588)4138932-3 s Modellierung (DE-588)4170297-9 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017638607&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Holden, Craig W. Excel modeling and estimation in investments Investissements - Informatique ram Tableurs ram Datenverarbeitung Electronic spreadsheets Investments Data processing EXCEL (DE-588)4138932-3 gnd Investition (DE-588)4027556-5 gnd Finanzierung (DE-588)4017182-6 gnd Modellierung (DE-588)4170297-9 gnd |
| subject_GND | (DE-588)4138932-3 (DE-588)4027556-5 (DE-588)4017182-6 (DE-588)4170297-9 |
| title | Excel modeling and estimation in investments |
| title_auth | Excel modeling and estimation in investments |
| title_exact_search | Excel modeling and estimation in investments |
| title_full | Excel modeling and estimation in investments Craig W. Holden |
| title_fullStr | Excel modeling and estimation in investments Craig W. Holden |
| title_full_unstemmed | Excel modeling and estimation in investments Craig W. Holden |
| title_short | Excel modeling and estimation in investments |
| title_sort | excel modeling and estimation in investments |
| topic | Investissements - Informatique ram Tableurs ram Datenverarbeitung Electronic spreadsheets Investments Data processing EXCEL (DE-588)4138932-3 gnd Investition (DE-588)4027556-5 gnd Finanzierung (DE-588)4017182-6 gnd Modellierung (DE-588)4170297-9 gnd |
| topic_facet | Investissements - Informatique Tableurs Datenverarbeitung Electronic spreadsheets Investments Data processing EXCEL Investition Finanzierung Modellierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017638607&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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