If you are a quantitative professional and you are using Excel without coding
VBA macros or functions, this is likely to be the most important book you will read
this year. VBA comes packaged with Excel. It converts spreadsheets from simple
calculators into sophisticated computing environments. Without VBA, standard
financial tasks, such as building binomial trees or running a Monte Carlo
simulation, are all but impossible. With VBA, they are a snap. VBA is becoming
the tool of choice on trading floors for desk-top modeling.
Advanced Modelling in Finance Using Excel and VBA is a practical,
hands-on introduction to using VBA in finance. It explains practical concepts,
shows you screen shots, and walks you line-by-line through VBA code. This is the
kind of book you will have open by your PC as you read about and simultaneously
implement example code.
No prior knowledge of VBA or programming is assumed. You need to have basic
proficiency with Excel, but that is it. The book opens with a discussion of some
more advanced functionality in Excel: data tables, lookup functions, range
names, solver, goal seek, array functions, etc. After that, it delves into VBA.
It introduces the VBA coding environment (in Excel, choose Tools then Macro then
Visual Basic Editor ...). It soon has you coding simple routines.
Contents
1. Introduction
Advanced Modelling in Excel
2. Advanced Excel functions and
procedures
3. Introduction to VBA
4. Writing VBA user-defined functions
Equities
5. Introduction to equities
6. Portfolio optimization
7. Asset pricing
8. Performance measurement and
attribution
Options on Equities
9. Introduction to options on equities
10. Binomial trees
11. The Black-Scholes formula
12. Other numerical methods for
European options
13. Non-normal distributions and
implied volatility
Options on Bonds
14. Introduction to valuing options on
bonds
15. Interest rate models
16. Matching the term structure
The rest of the book introduces increasingly sophisticated financial
applications as a context for teaching you more about VBA. Financial applications include
techniques of of
portfolio theory and performance attribution. After that, the focus is on
financial engineering. There are five chapters on equity options pricing with
analytic solutions, binomial trees, the Monte Carlo method and other techniques
of numerical integration. The discussion of the Monte Carlo method includes
simple code for variance reduction and quasi-Monte Carlo methods. There are
three chapters on interest rate models, with implementations of several models
up to and including the Black, Derman and Toy model.
I wholeheartedly recommend this book to quantitative finance professionals. If
you are not already using VBA, the book will dramatically increase your
productivity. If you are using VBA, it will serve as a useful reference and will
help to improve your coding. The book will also teach you plenty of practical
financial techniques, but that is icing on the cake.
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