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📙 Professional Financial Computing Using Excel and VBA by Humphrey K. K. Tung, Donny C. F. Lai, Michael C. S. Wong, Stephen NG(auth.) — free download


"Professional Financial Computing Using Excel and VBA is an admirable exposition that bridges the theoretical underpinnings of financial engineering and its application which usually appears as a "black-box" software application. The book opens the black-box and reveals the architecture of risk-modeling and financial engineering based on industry-standard stochastic models by utilizing Excel and VBA functionality to create a robust and practical modeling tool-kit. Financial engineering professionals who purchase this book will have a jumpstart advantage for their customized financial engineering and modeling needs."
Dr. Cameron Wicentowich
Vice President, Treasury Analytics
Canadian Imperial Bank of Commerce (CIBC)

"Spreadsheet modeling for finance has become a standard course in the curriculum of many Quantitative Finance programs since the Excel-based Visual Basic programming is now widely used in constructing optimal portfolios, pricing structured products and managing risks. Professional Financial Computing Using Excel and VBA is written by a unique team of finance, physics and computer academics and practitioners. It is a good reference for those who are studying for a Masters degree in Financial Engineering and Risk Management. It can also be useful for financial engineers to jump-start a project on designing structured products, modeling interest term structure or credit risks."
Dr. Jin Zhang
Director of Master of Finance Program and Associate Professor
The University of Hong Kong

"Excel has been one of the most powerful tools for financial planning and computing over the last few years. Most users utilize a fraction of its capabilities. One of the reasons is the limited availability of books that cover the advanced features of Excel for Finance. Professional Financial Computing Using Excel and VBA goes the extra mile and deals with the Excel tools many professionals call for. This book is a must for professionals or students dealing with financial engineering, financial risk management, computational finance or mathematical finance. I loved the way the authors covered the material using real life, hands-on examples."
Dr. Isaac Gottlieb
Temple University
Author, Next Generation Excel: Modeling in Excel for Analysts and MBAsContent:
Chapter 1 Financial Engineering and Computing (pages 1–7):
Chapter 2 The GARCH(1,1) Model (pages 9–20):
Chapter 3 Finite Difference Methods (pages 21–36):
Chapter 4 Portfolio Mean?Variance Optimization (pages 37–57):
Chapter 5 Newton–Raphson Method (pages 59–66):
Chapter 6 Yield Curve Construction Using Cubic Spline (pages 67–84):
Chapter 7 Binomial Option Pricing Model (pages 85–93):
Chapter 8 The Black–Derman–Toy Model (pages 95–108):
Chapter 9 Monte Carlo Option Pricing (pages 109–142):
Chapter 10 Portfolio Value?at?Risk (pages 143–187):
Chapter 11 The Hull–White Model (pages 189–220):
Chapter 12 CreditMetrics Model (pages 221–241):
Chapter 13 KMV–Merton Model (pages 243–254):

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