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Financial Simulation Modeling in Excel

A Step-by-Step Guide

Financial Simulation Modeling in Excel by Keith A. Allman
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As simulation techniques become more prominent within the financial community, a thorough understanding of the theory behind, and implementation of, those techniques is critical for those involved in portfolio management, risk management, pricing, and other essential financial activities.

Created by the expert author team of Keith Allman, Josh Laurito, and Michael Loh, Financial Simulation Modeling in Excel contains valuable theoretical insights as well as practical exercises that will help you transform financial concepts into dynamic, usable models. And because simulation has its place in many different parts of finance, this well-rounded resource takes you step by step through the process of creating multiple, smaller models—using Microsoft® Excel® and VBA—as opposed to a single unified model.

Each section begins with a discussion of theory—with enough background and mathematical formulas provided to reinforce the concept covered—and then moves on to a Model Builder exercise where the theory is transferred to an application in Microsoft® Excel®. Along the way, this accessible guide:

  • Works through random number generation, explains Brownian motion, and explores correlation between variables with specific examples

  • Takes you through simulating interest rate paths to price bonds

  • Creates a corporate default simulation based on structural and reduced form models

  • Provides a thorough look at simulating pools of assets

  • Addresses data deficiencies and how to manage data as it relates to a simulation

Complete with a companion website that contains information including Model Builder files, this book is an essential guide—for both seasoned professionals and those new to the world of financial simulation modeling—to understanding the intricacies of this discipline and excelling at it.

Wiley; September 2011
240 pages; ISBN 9781118137222
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Title: Financial Simulation Modeling in Excel
Author: Keith A. Allman; Josh Laurito; Michael Loh
Buy, download and read Financial Simulation Modeling in Excel (eBook) by Keith A. Allman; Josh Laurito; Michael Loh today!
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