EXCEL MODELING AND ESTIMATION IN INVESTMENTS,

THIRD EDITION - Contents   Preface,  Desk Copy,  Purchase on Amazon,  Free US Yield Curve Dynamics.

PART 1  BONDS / FIXED INCOME SECURITIES     1

Chapter 1  Bond Pricing     1 
                              1.1  Annual Payments     1
                             1.2  APR and EAR    2
                             1.3  By Yield To Maturity     3
                             1.4  Dynamic Chart     4
                             1.4  System of Five Bond Variables     5
                             Problems     7
Chapter 2  Bond Duration     8
                              2.1  Basics     8
                             2.2  Price Sensitivity Using Duration     10
                             2.3  Dynamic Chart     12
                             Problems     14
Chapter 3  Bond Convexity     15 
                              3.1  Basics     15
                             3.2  Price Sensitivity Including Convexity     16
                             3.3  Dynamic Chart     19
                             Problems     21
Chapter 4  The Yield Curve     22 
                              4.1  Obtaining It From Treasury Bills and Strips     22
                             4.2  Using It To Price A Coupon Bond     23
                             4.3  Using It To Determine Forward Rates     25
                             Problems     26
 Chapter 5  U.S. Yield Curve Dynamics     27 
                              5.1  Dynamic Chart     27
                             Problems    33
Chapter 6  Affine Yield Curve Models     35 
                              6.1  The Vasicek Model     35
                             6.2  The Cox-Ingersoll-Ross Model     38
                             Problems    40
 

PART 2  STOCKS / SECURITY ANALYSIS     41

Chapter 7  Portfolio Optimization     41
                            7.1  Two Risky Assets and a Riskfree Asset     41
                            7.2  Descriptive Statistics     44
                             7.3  Many Risky Assets and a Riskfree Asset     49
                            Problems     60
 Chapter 8  Constrained Portfolio Optimization     62
                               8.1  No Short Sales, No Borrowing, and Other Constraints     62
                              Problems     78
Chapter 9  Asset Pricing     79
                               9.1  Static CAPM Using Fama-MacBeth Method     79
                              9.2  APT or Intertemporal CAPM Using Fama-MacBeth Method     84
                              Problems     91
Chapter 10 Trading Simulations using @RISK     93
                               10.1  Trader Simulation     93
                              10.2  Dealer Simulation     109
Chapter 11 Portfolio Diversification Lowers Risk     127  
                               11.1  Basics     127
                              11.2  International     129
                              Problems     131 
Chapter 12 Life-Cycle Financial Planning     132
                               12.1  Basics     132
                              12.2  Full-Scale Estimation   134
                              Problems     142
 Chapter 13 Dividend Discount Models     143
                               13.1  Dividend Discount Model     143
                              Problems     144
 Chapter 14  Du Pont System of Ratio Analysis     145
                               14.1  Basics     145
                              Problems     146

PART 3  OPTIONS / FUTURES / DERIVATIVES     147

 Chapter 15 Options Payoffs and Profits     147
                              15.1  Basics     147
                              Problems     149
 Chapter 16 Option Trading Strategies     150  
                               16.1  Two Assets     150
                              16.2  Four Assets     155
                              Problems     159
 Chapter 17 Put-Call Parity     162
                              17.1  Basics     162  
                              17.2  Payoff Diagram     162  
                              Problems     164
Chapter 18 Binomial Option Pricing     165
                               18.1  Estimating Volatility     165
                               18.2  Single Period     166
                              18.3  Multi-Period     169
                              18.4  Risk Neutral     174
                              18.5  American With Discrete Dividends     177
                              18.6  Full-Scale Real Data     181
                              Problems     189
 Chapter 19 Black Scholes Option Pricing     191
                               19.1  Basics     191
                              19.2  Continuous Dividend     192
                              19.3  Greeks     195
                              19.4  Implied Volatility     201
                               19.5  Exotic Options    203
                              Problems     210
Chapter 20 Merton Corporate Bond Model     212
                              20.1  Two Methods     212
                              20.2  Impact of Risk     214
                              Problems     215
 Chapter 21 Spot-Futures Parity (Cost of Carry)     216
                               21.1  Basics     216
                              21.2  Index Arbitrage     218
                              Problems     219
Chapter 22 International Parity     220
                               22.1  System of Four Parity Conditions     220
                              22.2  Estimating Future Exchange Rates     222
                              Problems     224

PART 4  EXCEL SKILLS     225

 Chapter 23 Useful Excel Tricks     225
                               23.1  Quickly Delete The Instruction Boxes and Arrows     225
                               23.2  Freeze Panes     225
                               23.3  Spin Buttons and the Developer Tab     226
                               23.4  Option Buttons and Group Boxes     227
                               23.5  Scroll Bar     229
                               23.6  Install Solver or the Analysis ToolPak     230
                               23.7  Format Painter     230
                               23.8  Conditional Formatting     231
                               23.9  Fill Handle     232
                               23.10  2-D Scatter Chart     232
                               23.11  3-D Scatter Chart     234
CONTENTS ON CD

      TXT   Readme.txt
      PDF  Excel Mod Est in Inv 3e.pdf
        Ch 01 Bond Pricing.xlsx
        Ch 02 Bond Duration.xlsx
        Ch 03 Bond Convexity.xlsx
        Ch 04 The Yield Curve.xlsx
        Ch 05 US Yield Curve Dynam.xlsx
        Ch 06 Affine Yield Curve.xlsx
        Ch 07-08 Port Optimization.xlsm
        Ch 09 Asset Pricing.xlsm
        Ch 10 Dealer Simulation.xlsm
        Ch 10 Trader Simulation.xlsm
        Ch 11 Portfolio Diversific.xlsx
        Ch 12 Life-Cycle Fin Plan.xlsx
        Ch 13 Div Discount Models.xlsx
        Ch 14 DuPont Ratio Anal.xlsx
        Ch 15 Option Payoff-Profit.xlsx
        Ch 16 Option Trading Strat.xlsx
        Ch 17 Put-Call Parity.xlsx
        Ch 18 Binomial Option Pric.xlsx
        Ch 19 Black Scholes Opt Pr.xlsx
        Ch 20 Merton Corp Bond.xlsx
        Ch 21 Spot-Futures Parity.xlsx
        Ch 22 International Parity.xlsx
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