EXCEL MODELING IN INVESTMENTS,
FORTH
EDITION
Contents Preface,
Desk
Copy,
Purchase on Amazon,
Free
Samples.
PART 1 BONDS / FIXED
INCOME
SECURITIES...........................1
Chapter 1 Bond Pricing.............................................1
1.1 Annual Payments......................................................................1
1.2 EAR, APR, and Foreign Currencies.....................................2
1.3
Duration and Convexity...........................................................7
1.4
Price Sensitivity...................................................................... 9
1.5
Immunization..........................................................................11
1.6 System of Five
Bond Variables............................................17
Problems.........................................................................................18
Chapter 2 The
Yield Curve......................................21
2.1
Obtaining It From Treasury Bills and Strips..................21
2.2 Using It To Price A Coupon Bond......................................22
2.3 Using It To Determine Forward Rates...............................23
Problems.........................................................................................24
Chapter 3 Affine Yield Curve
Models......................25
3.1 US Yield Curve Dynamics...................................................25
3.1 The Vasicek Model...............................................................31
3.2 The Cox-Ingersoll-Ross Model...........................................33
Problems.........................................................................................35
PART 2
PORTFOLIO
MANAGEMENT.................36
Chapter 4 Portfolio Optimization...........................36
4.1 Two Risky Assets and a Riskfree
Asset..........................36
4.2
Descriptive Statistics...........................................................39
4.3 Many Risky Assets and a Riskfree
Asset........................43
4.4 Any Number of Risky
Assets..............................................53
Problems.........................................................................................58
Chapter 5 Constrained Portfolio Optimization.......59
5.1
No Short Sales, No Borrowing, and Other
Constraints...........................................................................59
Problems.......................................................................................69
Chapter 6 Portfolio Diversification Lowers Risk......79
6.1 Basics....................................................................................79
6.2 International.........................................................................80
Problems.......................................................................................82
PART
3
SECURITY
ANALYSIS......................83
Chapter 7 Stock Valuation......................................83
7.1 Dividend
Discount Model...................................................83
Problems......................................................................................84
Chapter 8
Du Pont System of Ratio Analysis.........85
8.1 Basics...................................................................................85
Problems......................................................................................86
PART
4
STOCKS.................................87
Chapter 9 Asset Pricing..........................................87
9.1 Static CAPM Using Fama-MacBeth Method.................87
9.2
APT or Intertemporal CAPM Using Fama-MacBeth
Method..................................................................................92
Problems......................................................................................97
Chapter 10 Market
Microstructure..........................98
10.1 Effective Spread By Exchange Using TAQ Data.........98
Chapter 11 Life-Cycle
Financial Planning............. 115
11.1 Basics...............................................................................115
11.2 Full-Scale Estimation....................................................117
Problems....................................................................................124
PART
5 INTERNATONAL
INVESTMENTS..........125
Chapter
12 International Parity............................125
12.1 System of Four Parity Conditions.............................125
12.2 Estimating Future Exchange Rates...........................127
Problems..................................................................................128
Chapter 13 Swaps.................................................129
12.1 Valuation of Interest Rate Swaps..............................129
12.2 Valuation of Currency Swaps....................................131
Problems.................................................................................132
PART
6 OPTIONS, FUTURES
AND, OTHER
DERIVATIVES...........134
Chapter 14
Options Payoffs and Profits...............134
14.1 Basics..............................................................................134
Problems..................................................................................136
Chapter
15 Option Trading Strategies..................137
15.1 Two Assets.....................................................................137
15.2 Four Assets....................................................................140
Problems...................................................................................143
Chapter 16 Put-Call Parity...................................146
16.1 Basics..............................................................................146
16.2 Payoff Diagram..............................................................146
Problems...................................................................................148
Chapter
17 Binomial Option Pricing.....................149
17.1 Estimating Volatility....................................................149
17.2 Single Period.................................................................150
17.3 Multi-Period...................................................................153
17.4 Risk Neutral..................................................................157
17.5 Average of N and N-1....................................................160
17.6 Convergence to
Normal................................................162
17.7 American With Discrete Dividends...........................164
17.8
Full-Scale........................................................................168
Problems...................................................................................173
Chapter 18 Black Scholes Option Pricing..............175
18.1 Basics..............................................................................175
18.2 Continuous Dividend.....................................................176
18.3 Greeks.............................................................................180
18.4
Daily Delta
Hedging......................................................184
18.5
Trading Strategies Over Any Horizon......................187
18.6
Implied Volatility...........................................................192
18.7
Exotic Options................................................................194
Problems...................................................................................199
Chapter 19 Futures................................................201
21.1
Spot-Futures Parity (Cost of
Carry)..........................201
21.2
Margin.............................................................................203
Problems...................................................................................204
Chapter 20 Pricing By Simulation.........................205
20.1 Path-Independent
Derivatives.......................................205
20.2
Path-Independent
Derivatives With Jumps................206
20.3 Path-Independent
Derivatives With Stratified
Sampling..........................................................................208
20.4 Path-Dependent
Derivatives.........................................209
20.5
Path-Dependent
Derivatives With Jumps..................210
Problems...................................................................................211
Chapter 21 Corporate Bonds................................213
21.1
Two Methods..................................................................213
21.2 Impact of Risk...............................................................215
Problems..................................................................................216
PART
7 EXCEL SKILLS.........217
Chapter 22
Useful Excel Tricks.............................217
22.1 Quickly Delete The Instruction Boxes and
Arrows..........................................................................217
22.2 Freeze Panes................................................................217
22.3 Spin Buttons and the Developer Tab........................218
22.4 Option Buttons and Group Boxes.............................219
22.5 Scroll Bar.....................................................................221
22.6 Install Solver or the Analysis
ToolPak...................222
22.7 Format Painter.............................................................222
22.8 Conditional Formatting..............................................223
22.9 Fill Handle.....................................................................224
22.10 2-D Scatter Chart......................................................224
22.11 3-D Scatter Chart......................................................226
CONTENTS ON
CD
Excel
Modeling in Investments Fourth Edition.pdf
Ready-To-Build
spreadsheets:
Ch
01 Bond Pricing - Ready-To-Build.xlsx
Ch
02 The Yield Curve - Ready-To-Build.xlsx
Ch
03 Affine Yield Curve Models - Ready-To-Build.xlsx
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04-05 Portfolio Optimization - Ready-To-Build.xlsm
Ch
06 Portfolio Diversification Lowers Risk - Ready-To-Build.xlsx
Ch
07 Stock Valuation - Ready-To-Build.xlsx
Ch
08 Du Pont System of Ratio Analysis - Ready-To-Build.xlsx
Ch
09 Asset Pricing - Ready-To-Build.xlsm
Ch
10 Market Microstructure - Ready-To-Build.xlsm
Ch
11 Life-Cycle Financial Planning - Ready-To-Build.xlsx
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12 International Parity - Ready-To-Build.xlsx
Ch
13 Swaps - Ready-To-Build.xlsx
Ch
14 Option Payoffs and Profits - Ready-To-Build.xlsx
Ch
15 Option Trading Strategies - Ready-To-Build.xlsx
Ch
16 Put-Call Parity - Ready-To-Build.xlsx
Ch
17 Binomial Option Pricing - Ready-To-Build.xlsx
Ch
18 Black Scholes Option Pricing - Ready-To-Build.xlsx
Ch
19 Futures - Ready-To-Build.xlsx
Ch
20 Pricing By Simulation - Ready-To-Build.xlsx
Ch
21 Corporate Bonds - Ready-To-Build.xlsx
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in Excel 97-2003 Format