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Excel Modeling in Investments

by: Holden, Craig W.

Excel Modeling in Investments

by: Holden, Craig W.

ISBN 13:
9780205987245
ISBN 10:
0205987249
Edition: 5th
Format: Paperback
Copyright: 03/07/2014
Publisher: Pearson

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Excel Modeling in Investments > ISBN13: 9780205987245

Summary

For courses in corporate finance or financial management at the undergraduate and graduate level.

Excel Modeling in Investments, Fifth Edition approaches building and estimating models with Microsoft^® Excel^®. Students are shown the steps involved in building models, rather than already-completed spreadsheets.

Preface vii

Fifth Edition Changes vii

Ready-To-Build Spreadsheets vii

What Is Unique About This Book xi

Conventions Used In This Book xii

Craig’s Challenge xiv

Excel® Modeling Books xiv

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, 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

3.2 The Vasicek Model 30

3.3 The Cox-Ingersoll-Ross Model 32

Problems 34

PART 2 PORTFOLIO MANAGEMENT 35

Chapter 4 Portfolio Optimization 35

4.1 Two Risky Assets and a Riskfree Asset 35

4.2 Descriptive Statistics 38

4.3 Many Risky Assets and a Riskfree Asset 42

4.4 Any Number of Risky Assets 52

Problems 57

Chapter 5 Constrained Portfolio Optimization 58

5.1 No Short Sales, No Borrowing, and Other Constraints 58

5.2 Any Number of Risky Assets 68

Problems 77

Chapter 6 Portfolio Performance 78

6.1 Evaluation Measures 78

Problems 80

Chapter 7 Portfolio Diversification Lowers Risk 81

7.1 Basics 81

7.2 International 82

Problems 84

PART 3 SECURITY ANALYSIS 85

Chapter 8 Stock Valuation 85

8.1 Dividend Discount Model 85

Problems 86

Chapter 9 Du Pont System Of Ratio Analysis 87

9.1 Basics 87

Problems 88

PART 4 STOCKS 89

Chapter 10 Asset Pricing 89

10.1 Static CAPM Using Fama-MacBeth Method 89

10.2 APT or Intertemporal CAPM Using Fama-McBeth Method 93

Problems 98

Chapter 11 Market Microstructure 100

11.1 National Best Bid and Offer (NBBO) 100

11.2 Transaction Cost By Exchange Using TAQ Data 100

11.3 Limit Order Book Vs. Call Market 106

11.4 Transaction Cost Measures 108

11.5 Transaction Cost Components 110

11.6 Probability of Informed Trading (PIN) 111

Problems 113

Chapter 12 Life-Cycle Financial Planning 114

12.1 Taxable Vs. Traditional Vs. Roth Savings 114

12.2 Basic Life-Cycle Planning 115

12.3 Full-Scale Life-Cycle Planning 118

Problems 125

PART 5 INTERNATIONAL INVESTMENTS 126

Chapter 13 International Parity 126

13.1 System of Four Parity Conditions 126

13.2 Estimating Future Exchange Rates 128

Problems 129

Chapter 14 Swaps 130

14.1 Valuation of Interest Rate Swaps 130

14.2 Valuation of Currency Swaps 132

Problems 133

PART 6 OPTIONS, FUTURES, AND OTHER DERIVATIVES 135

Chapter 15 Option Payoffs and Profits 135

15.1 Basics 135

Problems 136

Chapter 16 Option Trading Strategies 137

16.1 Two Assets 137

16.2 Four Assets 140

Problems 143

Chapter 17 Put-Call Parity 146

17.1 Basics 146

17.2 Payoff Diagram 146

Problems 148

Chapter 18 Binomial Option Pricing 149

18.1 Estimating Volatility 149

18.2 Single Period 150

18.3 Multi-Period 153

18.4 Risk Neutral 157

18.5 Average of N and N-1 160

18.6 Convergence to Normal 162

18.7 American With Discrete Dividends 164

18.8 Full-Scale 168

Problems 173

Chapter 19 Black-Scholes Option Pricing 175

19.1 Basics 175

19.2 Continuous Dividend 176

19.3 Greeks 180

19.4 Daily Delta Hedging 184

19.5 Trading Strategies Over Any Horizon 187

19.6 Implied Volatility 192

19.7 Exotic Options 194

Problems 199

Chapter 20 Futures 201

20.1 Spot-Futures Parity (Cost of Carry) 201

20.2 Margin 203

Problems 204

Chapter 21 Pricing By Simulation 205

21.1 Path-Independent Derivatives 205

21.2 Path-Independent Derivatives With Jumps 206

21.3 Path-Independent Derivatives With Stratified Sampling 208

21.4 Path-Dependent Derivatives 209

21.5 Path-Dependent Derivatives With Jumps 210

Problems 211

Chapter 22 Corporate Bonds 213

22.1 Two Methods 213

22.2 Impact of Risk 215

Problems 216

PART 7 EXCEL SKILLS 217

Chapter 23 Useful Excel Tricks 217

23.1 Quickly Delete The Instruction Boxes and Arrows 217

23.2 Freeze Panes 217

23.3 Spin Buttons and the Developer Tab 218

23.4 Option Buttons and Group Boxes 219

23.5 Scroll Bar 221

23.6 Install Solver or the Analysis ToolPak 222

23.7 Format Painter 222

23.8 Conditional Formatting 223

23.9 Fill Handle 224

23.10 2-D Scatter Chart 224

23.11 3-D Surface Chart 226

DOWNLOADABLE CONTENTS

Excel Modeling in Investments Fifth Edition.pdf

Ready-To-Build spreadsheets available in both

XLSX and XLS file formats:

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

Ch 04-05 Portfolio Optimization - Ready-To-Build.xlsm

Ch 06 Portfolio Performance - Ready-To-Build.xlsx

Ch 07 Portfolio Diversification Lowers Risk - Ready-To-Build.xlsx

Ch 08 Stock Valuation - Ready-To-Build.xlsx

Ch 09 Du Pont System of Ratio Analysis - Ready-To-Build.xlsx

Ch 10 Asset Pricing - Ready-To-Build.xlsx

Ch 11 Market Microstructure - Ready-To-Build.xlsx

Ch 12 Life-Cycle Financial Planning - Ready-To-Build.xlsx

Ch 13 International Parity - Ready-To-Build.xlsx

Ch 14 Swaps - Ready-To-Build.xlsx

Ch 15 Option Payoffs and Profits - Ready-To-Build.xlsx

Ch 16 Option Trading Strategies - Ready-To-Build.xlsx

Ch 17 Put-Call Parity - Ready-To-Build.xlsx

Ch 18 Binomial Option Pricing - Ready-To-Build.xlsx

Ch 19 Black-Scholes Option Pricing - Ready-To-Build.xlsx

Ch 20 Futures - Ready-To-Build.xlsx

Ch 21 Pricing By Simulation - Ready-To-Build.xlsx

Ch 22 Corporate Bonds - Ready-To-Build.xlsx

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