Financial Simulation Modeling in Excel, + Website

A Step-by-Step Guide

Keith A. Allman, Josh Laurito, Michael Loh

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English

John Wiley & Sons Inc
22 September 2011

Finance; Mathematical modelling; Excel

Series: Wiley Finance

""I've worked with simulation in business for over 20 years, and Allman really nails it with this book. I admit that I own his previous book on structured finance cash flows, but I was surprised by what I found in here. He addresses the fundamental questions of how decision makers react to simulations and his read was very much in accordance with what I've experienced myself. When it came to the nuts and bolts of describing the different types of simulation analysis the book becomes incredibly detailed. There is working code and models for a fantastic array of the most common simulation problems. If you're so inclined, the book very carefully steps through the tricky math needed to really understand the theory behind stochastic modeling in finance. If you're preparing models that include any kind of randomization or stochastic modeling component, this book is a must-read, a tremendous value and time-saver."" — David Brode of The Brode Group

A practical guide to understanding and implementing financial simulation modeling

As simulation techniques become more popular among the financial community and a variety of sub-industries, a thorough understanding of theory and implementation is critical for practitioners involved in portfolio management, risk management, pricing, and capital budgeting. Financial Simulation Modeling in Excel contains the information you need to make the most informed decisions possible in your professional endeavors.

Financial Simulation Modeling in Excel contains a practical, hands-on approach to learning complex financial simulation methodologies using Excel and VBA as a medium. Crafted in an easy to understand format, this book is suitable for anyone with a basic understanding of finance and Excel. Filled with in-depth insights and expert advice, each chapter takes you through the theory behind a simulation topic and the implementation of that same topic in Excel/VBA in a step-by-step manner.

Organized in an easy-to-follow fashion, this guide effectively walks you through the process of creating and implementing risk models in Excel A companion website contains all the Excel models risk experts and quantitative analysts need to practice and confirm their results as they progress Keith Allman is the author of other successful modeling books, including Corporate Valuation Modeling and Modeling Structured Finance Cash Flows with Microsoft Excel

Created for those with some background in finance and experience in Excel, this reliable resource shows you how to effectively perform sound financial simulation modeling, even if you've yet to do extensive modeling up to this point in your professional or academic career.

By: Keith A. Allman, Josh Laurito, Michael Loh
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions: Height: 236mm, Width: 191mm, Spine: 10mm
Weight: 304g
ISBN: 9780470931226
ISBN 10: 0470931221
Series: Wiley Finance
Pages: 216
Publication Date: 22 September 2011
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

Preface vii Acknowledgments xi About the Authors xiii CHAPTER 1 Introduction 1 CHAPTER 2 Random Numbers, Distributions, and Basic Simulation Setup 13 CHAPTER 3 Correlation 47 CHAPTER 4 Option Pricing 65 CHAPTER 5 Corporate Default Simulation 95 CHAPTER 6 Simulating Pools of Assets 127 CHAPTER 7 Dealing with Data Deficiencies and Other Issues 153 CHAPTER 8 Advanced Topics and Further Reading 169 APPENDIX A Partial Differential Equations 175 APPENDIX B Newton-Raphson Method 183 References 187 Index 189

Keith A. Allman is an investment manager at Bamboo Finance, a private equity fund that invests in for-profit, commercially viable companies that provide a good or service that beneficially impacts the lives of low-income individuals. Previously, he was the director of analytics and modeling at Pearl Street Capital Group. Allman also founded Enstruct, which services clients worldwide in capital markets and equity valuation, distressed valuation, and quantitative-based training. He is the author of the Wiley titles Corporate Valuation Modeling, Modeling Structured Finance Cash Flows with Microsoft® Excel®, and Reverse Engineering Deals on Wall Street with Microsoft® Excel®. Allman holds bachelor degrees from UCLA and a master's degree from Columbia University. Josh Laurito, CFA, is a co-founder and Principal of Lumesis, a leading provider of credit analysis software and solutions to the municipal finance market. In addition, he directs corporate modeling for Hexagon Securities, a boutique merchant bank that advises and invests in banks and specialty finance companies. MichaelL Loh currently works for Tech-X Corporation where he is actively engaged in complex data management and high-performance computing using accelerated hardware. Prior to Tech-X, Loh developed and implemented financial models at RangeMark Financial Services