Financial Simulation Modeling in Excel by Allman, Keith -- Read -- Imperial Library of Trantor

Index

Cover Series Title Page Copyright Preface Acknowledgments About the Authors Chapter 1: Introduction

WHAT IS SIMULATION? CHARACTERISTICS OF A SIMULATION INSTRUCTIONAL METHODOLOGY HOW THIS BOOK WORKS ABOUT THE COMPANION WEBSITE EXCEL 2003 AND EARLIER VERSUS EXCEL 2007/2010 A FEW WORDS ABOUT SEMANTICS FINAL REMINDERS

Chapter 2: Random Numbers, Distributions, and Basic Simulation Setup

SEED VARIABLES AND RANDOM NUMBER GENERATION DISTRIBUTIONS NORMAL PSEUDORANDOM NUMBERS QUICKLY GENERATING NORMAL PSEUDORANDOM NUMBERS USING PREBUILT EXCEL FUNCTIONS OTHER METHODS OF GENERATING NORMAL PSEUDORANDOM NUMBERS PUTTING TOGETHER A MORE DEVELOPED SIMULATION USING THE FUNDAMENTAL COMPONENTS BROWNIAN MOTION AND WIENER PROCESSES UNDERSTANDING SIMULATION RESULTS THIS IS JUST THE BEGINNING

Chapter 3: Correlation

THE BASIC IDEA OF CORRELATION CORRELATION IN A FINANCIAL CONTEXT PRODUCING SETS OF CORRELATED NORMAL RANDOM NUMBERS USING MATRIX MATHEMATICS GOING FORWARD USING OUR TOOLS

Chapter 4: Option Pricing

BINOMIAL TREES HULL-WHITE INTEREST RATE MODEL HULL-WHITE TRINOMIAL TREE TERM STRUCTURE RECOVERY USING FORWARD INDUCTION BLACK-SCHOLES OPTION PRICING METHOD DISCUSSION ON ERRORS BEYOND PRICE MOVEMENTS

Chapter 5: Corporate Default Simulation

THE THEORY BEHIND THE MERTON MODEL SHORT-TERM AND LONG-TERM LIABILITIES: THE BARRIER AND CALIBRATION TUNING THE MODEL—DATA SETS AND DRIFT OTHER METHODS TO DEVELOP DEFAULT PROBABILITIES DETERMINING LOSS PROBABILITIES FROM BOND PRICES OR CREDIT DEFAULT SWAPS BOND TERM STRUCTURE AND BOOTSTRAPPING RECOVERY ASSUMPTIONS SOVEREIGNS AND MUNICIPALS: NONCORPORATE ISSUERS FROM ASSETS TO POOLS

Chapter 6: Simulating Pools of Assets

DIFFERENCES BETWEEN PROJECTING DEFAULTS AND PRICE MOVEMENTS VALUE AT RISK (VAR) STRUCTURED PRODUCTS AND CDOS TRANSITION MATRICES KNOWING YOUR ASSETS

Chapter 7: Dealing with Data Deficiencies and Other Issues

“GARBAGE IN, GARBAGE OUT” INCONSISTENT DATA FORMATS LACK OF DATA

Chapter 8: Advanced Topics and Further Reading

VBA AND OTHER LANGUAGES: DIFFERENT PROGRAMS FOR DIFFERENT USES QUASI–MONTE CARLO AND COMPUTATIONAL TIME EFFICIENT MARKET HYPOTHESIS AND ITS WEAKNESSES DISTRIBUTIONS: NASSIM TALEB AND NORMALCY NEW FRONTIERS OF ECONOPHYSICS WORKING WITH IMPERFECT MODELS

Appendix A: Partial Differential Equations

PARTIAL DERIVATIVES ORDINARY DIFFERENTIAL EQUATIONS (ODE) BOUNDARY CONDITIONS PARTIAL DIFFERENTIAL EQUATIONS STOCHASTIC DIFFERENTIAL EQUATIONS

Appendix B: Newton-Raphson Method References