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《高级分析模型:超过800款分析模型和300个涵盖巴塞尔II协定和华尔街金融领域的应用模型》
《Advanced Analytical Models:Over 800 Models and 300 Applications from Basel II Accords to Wall Street and Beyond (英语)》

乔纳森·文 (Dr.Johnathan Mun) (作者)


基本信息


• 出版社: Wiley; 第 1st 版 (2008年5月2日)
• 精装: 1014页
• 语种: 英文
• ISBN: 047017921X, 9780470179215
• 条形码: 9780470179215
• 商品尺寸: 19.05 x 4.32 x 26.16 cm
• 商品重量: 1790 g







概况

本书包含了众多行业和领域应用中的先进模型。该书在数年的学术研究和实务咨询经验基础上完成,并融合了领域专家的专业意见。Modeling Toolkit软件、Risk Simulator软件和Real Options SLS软件均由作者开发,内含超过1000个函数、工具和建模模板。所含DVD提供了以上软件的试用版。软件所涵盖的功能巨大,包括巴塞尔II银行风险要 求(信用风险、信贷利差、违约风险、在险价值等)、财务分析(奇异期权和估值)、风险分析(随即预测、基于风险的蒙特卡罗模拟、优化)、实务期权分析(战 略期权和决策分析)、6-Sigma、质量计划管理科学与统计应用,以及中间学科如应用统计、制造、运筹学、优化、预测和计量经济学。
本书主要针对需要学习算法、实例、模型和相关理论用于解决更高级甚至深奥问题的风险分析从业者。本书不仅讨论了建模方法、基本概念和例子,所附的DVD内 含样本建模视频、案例研究和软件使用,有助于读者快速上手。本书涉及的理论和数学模型在理解和商业应用上都具有一定的难度,但是这些理论模型已经被编写成 为软件,并介绍了如何借助软件快速应用高级建模技术。试用版软件提供了大约300个建模模板和800个函数和工具,帮助读者理解概念和使用内嵌函数及算 法。另外,读者还可以运行基于风险的蒙特卡罗模拟、高级预测技术、结构优化、自定义实务期权和金融期权问题。
软件 Modeling Toolkit中的每一个模型模板都在书中作了详尽介绍,一些更基础的风险分析和实物期权理论在作者的其他著作中都有所涉及。

目录

Part 1: Modeling Toolkit and Risk Simulator Applications.
Introduction to the Modeling Toolkit Software.
Introduction to Risk Simulator.
Running a Monte Carlo Simulation.
Using Forecast Charts and Confidence Intervals.
Correlations and Precision Control.
Tornado and Sensitivity Tools in Simulation.
Sensitivity Analysis.
Distributional Fitting: Single Variable and Multiple Variables.
Bootstrap Simulation.
Hypothesis Testing.
Data Extraction, Saving Simulation Results, and Generating Reports.
Regression and Forecasting Diagnostic Tool.
Statistical Analysis Tool.
Distributional Analysis Tool.
Portfolio Optimization.
Optimization with Discrete Integer Variables.
Forecasting.
1. Analytics—Central Limit Theorem.
2. Analytics—Central Limit Theorem—Winning Lottery Numbers.
3. Analytics—Flaw of Averages.
4. Analytics—Mathematical Integration Approximation Model.
5. Analytics—Projectile Motion.
6. Analytics—Regression Diagnostics.
7. Analytics—Ships in the Night.
8. Analytics—Statistical Analysis.
9. Analytics—Weighting of Ratios.
10. Credit Analysis—Credit Premium.
11. Credit Analysis—Credit Default Swaps and Credit Spread Options.
12. Credit Analysis—Credit Risk Analysis and Effects on Prices.
13. Credit Analysis—External Debt Ratings and Spread.
14. Credit Analysis—Internal Credit Risk Rating Model.
15. Credit Analysis—Profit Cost Analysis of New Credit.
16. Debt Analysis—Asset-Equity Parity Model.
17. Debt Analysis—Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates.
18. Debt Analysis—Debt Repayment and Amortization.
19. Debt Analysis—Debt Sensitivity Models.
20. Debt Analysis—Merton Price of Risky Debt with Stochastic Asset and Interest.
21. Debt Analysis—Vasicek Debt Option Valuation.
22. Debt Analysis—Vasicek Price and Yield of Risky Debt.
23. Decision Analysis—Decision Tree Basics.
24. Decision Analysis—Decision Tree with EVPI, Minimax, and Bayes’ Theorem.
25. Decision Analysis—Economic Order Quantity and Inventory Reorder Point.
26. Decision Analysis—Economic Order Quantity and Optimal Manufacturing.
27. Decision Analysis—Expected Utility Analysis.
28. Decision Analysis—Inventory Control.
29. Decision Analysis—Queuing Models.
30. Exotic Options—Accruals on Basket of Assets.
31. Exotic Options—American, Bermudan, and European Options with Sensitivities.
32. Exotic Options—American Call Option on Foreign Exchange.
33. Exotic Options—American Call Options on Index Futures.
34. Exotic Options—American Call Option with Dividends.
35. Exotic Options—Asian Lookback Options Using Arithmetic Averages.
36. Exotic Options—Asian Lookback Options Using Geometric Averages.
37. Exotic Options—Asset or Nothing Options.
38. Exotic Options—Barrier Options.
39. Exotic Options—Binary Digital Options.
40. Exotic Options—Cash or Nothing Options.
41. Exotic Options—Chooser Option (Simple Chooser).
42. Exotic Options—Chooser Option (Complex Chooser).
43. Exotic Options—Commodity Options.
44. Exotic Options—Currency (Foreign Exchange) Options.
45. Exotic Options—Double Barrier Options.
46. Exotic Options—European Call Option with Dividends.
47. Exotic Options—Exchange Assets Option.
48. Exotic Options—Extreme Spreads Option.
49. Exotic Options—Foreign Equity–Linked Foreign Exchange Options in Domestic Currency.
50. Exotic Options—Foreign Equity Struck in Domestic Currency.
51. Exotic Options—Foreign Equity with Fixed Exchange Rate.
52. Exotic Options—Foreign Takeover Options.
53. Exotic Options—Forward Start Options.
54. Exotic Options—Futures and Forward Options.
55. Exotic Options—Gap Options.
56. Exotic Options—Graduated Barrier Options.
57. Exotic Options—Index Options.
58. Exotic Options—Inverse Gamma Out-of-the-Money Options.
59. Exotic Options—Jump-Diffusion Options.
60. Exotic Options—Leptokurtic and Skewed Options.
61. Exotic Options—Lookback with Fixed Strike (Partial Time).
62. Exotic Options—Lookback with Fixed Strike.
63. Exotic Options—Lookback with Floating Strike (Partial Time).
64. Exotic Options—Lookback with Floating Strike.
65. Exotic Options—Min and Max of Two Assets.
66. Exotic Options—Options on Options.
67. Exotic Options—Option Collar.
68. Exotic Options—Perpetual Options.
69. Exotic Options—Range Accruals (Fairway Options).
70. Exotic Options—Simple Chooser.
71. Exotic Options—Spread on Futures.
72. Exotic Options—Supershare Options.
73. Exotic Options—Time Switch Options.
74. Exotic Options—Trading-Day Corrections.
75. Exotic Options—Two-Asset Barrier Options.
76. Exotic Options—Two Asset Cash or Nothing.
77. Exotic Options—Two Correlated Assets Option.
78. Exotic Options—Uneven Dividend Payments Option.
79. Exotic Options—Writer Extendible Option.
80. Forecasting—Data Diagnostics.
81. Forecasting—Econometric, Correlations, and Multiple Regression Modeling.
82. Forecasting—Exponential J-Growth Curves.
83. Forecasting—Forecasting Manual Computations.
84. Forecasting—Linear Interpolation and Nonlinear Spline Extrapolation.
85. Forecasting—Logistic S-Growth Curves.
86. Forecasting—Markov Chains and Market Share.
87. Forecasting—Multiple Regression.
88. Forecasting—Nonlinear Extrapolation and Forecasting.
89. Forecasting—Stochastic Processes, Brownian Motion, Forecast Distribution at Horizon, Jump-Diffusion, and Mean-Reversion.
90. Forecasting—Time-Series ARIMA.
91. Forecasting—Time-Series Analysis.
92. Industry Applications—Biotech Manufacturing Strategy.
93. Industry Applications—Biotech Inlicensing Drug Deal Structuring.
94. Industry Applications—Biotech Investment Valuation.
95. Industry Application—Banking: Integrated Risk Management, Probability of Default, Economic Capital, Value at Risk, and Optimal Bank Portfolios.
96. Industry Application—Electric/Utility: Optimal Power Contract Portfolios.
97. Industry Application—IT—Information Security Intrusion Risk Management.
98. Industry Applications—Insurance ALM Model.
99. Operational Risk—Queuing Models at Bank Branches.
100. Optimization—Continuous Portfolio Allocation.
101. Optimization—Discrete Project Selection.
102. Optimization—Inventory Optimization.
103. Optimization—Investment Portfolio Allocation.
104. Optimization—Investment Capital Allocation I (Basic Model).
105. Optimization—Investment Capital Allocation II (Advanced Model).
106. Optimization—Military Portfolio and Efficient Frontier.
107. Optimization—Optimal Pricing with Elasticity.
108. Optimization—Optimization of a Harvest Model.
109. Optimization—Optimizing Ordinary Least Squares.
110. Optimization—Stochastic Portfolio Allocation.
111. Options Analysis—Binary Digital Instruments.
112. Options Analysis—Inverse Floater Bond.
113. Options Analysis—Options-Trading Strategies.
114. Options Analysis—Options-Adjusted Spreads Lattice.
115. Options Analysis—Options on Debt.
116. Options Analysis—Five Plain Vanilla Options.
117. Probability of Default—Bond Yields and Spreads (Market Comparable).
118. Probability of Default—Empirical Model.
119. Probability of Default—External Options Model (Public Company).
120. Probability of Default—Merton Internal Options Model (Private Company).
121. Probability of Default—Merton Market Options Model (Industry Comparable).
122. Project Management—Cost Estimation Model.
123. Project Management—Critical Path Analysis (CPM PERT GANTT).
124. Project Management—Project Timing.
125. Real Estate—Commercial Real Estate ROI.
126. Risk Analysis—Integrated Risk Analysis.
127. Risk Analysis—Interest Rate Risk.
128. Risk Analysis—Portfolio Risk Return Profiles.
129. Risk Hedging—Delta-Gamma Hedging.
130. Risk Hedging—Delta Hedging.
131. Risk Hedging—Effects of Fixed versus Floating Rates.
132. Risk Hedging—Foreign Exchange Cash Flow Model.
133. Risk Hedging—Hedging Foreign Exchange Exposure.
134. Sensitivity—Greeks.
135. Sensitivity—Tornado and Sensitivity Charts Linear.
136. Sensitivity—Tornado and Sensitivity Nonlinear.
137. Simulation—Basic Simulation Model.
138. Simulation—Best Surgical Team.
139. Simulation—Correlated Simulation.
140. Simulation—Correlation Effects on Risk.
141. Simulation—Data Fitting.
142. Simulation—Debt Repayment and Amortization.
143. Simulation—Demand Curve and Elasticity Estimation.
144. Simulation—Discounted Cash Flow, Return on Investment, and Volatility Estimates.
145. Simulation—Infectious Diseases.
146. Simulation—Recruitment Budget (Negative Binomial and Multidimensional Simulation).
147. Simulation—Retirement Funding with VBA Macros.
148. Simulation—Roulette Wheel.
149. Simulation—Time Value of Money.
150. Six Sigma—Obtaining Statistical Probabilities, Basic Hypothesis Tests, Confidence Intervals, and Bootstrapping Statistics.
151. Six Sigma—One- and Two-Sample Hypothesis Tests Using t-Tests, Z-Tests, F-Tests, ANOVA, and Nonparametric Tests (Friedman, Kruskal Wallis, Lilliefors, and Runs Tests).
152. Six Sigma—Sample Size Determination and Design of Experiments.
153. Six Sigma—Statistical and Unit Capability Measures, Specification Levels, and Control Charts.
154. Valuation—Buy versus Lease.
155. Valuation—Banking: Classified Loan Borrowing Base.
156. Valuation—Banking: Break-Even Inventory with Seasonal Lending Trial Balance Analysis.
157. Valuation—Banking: Firm in Financial Distress.
158. Valuation—Banking: Pricing Loan Fees Model.
159. Valuation—Valuation Model.
160. Value at Risk—Optimized and Simulated Portfolio VaR.
161. Value at Risk—Options Delta Portfolio VaR.
162. Value at Risk—Portfolio Operational and Credit Risk VaR Capital Adequacy.
163. Value at Risk—Right-Tail Capital Requirements.
164. Value at Risk—Static Covariance Method.
165. Volatility—Implied Volatility.
166. Volatility—Volatility Computations (Log Returns, Log Assets, Implied Volatility, Management Assumptions, EWMA, GARCH).
167. Yield Curve—CIR Model.
168. Yield Curve—Curve Interpolation BIM Model.
169. Yield Curve—Curve Interpolation NS Model.
170. Yield Curve—Forward Rates from Spot Rates.
171. Yield Curve—Term Structure of Volatility.
172. Yield Curve—U.S. Treasury Risk-Free Rates and Cubic Spline Curves.
173. Yield Curve—Vasicek Model.

Part 2: Real Options SLS Applications.
174. Introduction to the SLS Software.
175. Employee Stock Options—Simple American Call Option.
176. Employee Stock Options—Simple Bermudan Call Option with Vesting.
177. Employee Stock Options—Simple European Call Option.
178. Employee Stock Options—Suboptimal Exercise.
179. Employee Stock Options—Vesting, Blackout, Suboptimal, Forfeiture.
180. Exotic Options—American and European Lower Barrier Options.
181. Exotic Options—American and European Upper Barrier Options.
182. Exotic Options—American and European Double Barrier Options and Exotic Barriers.
183. Exotic Options—Basic American, European, and Bermudan Call Options.
184. Exotic Options—Basic American, European, and Bermudan Put Options.
185. Real Options—American, European, Bermudan, and Customized Abandonment Options.
186. Real Options—American, European, Bermudan, and Customized Contraction Options.
187. Real Options—American, European, Bermudan, and Customized Expansion Options.
188. Real Options—Contraction, Expansion, and Abandonment Options.
189. Real Options—Dual Variable Rainbow Option Using Pentanomial Lattices.
190. Real Options—Exotic Chooser Options.
191. Real Options—Exotic Complex Floating American and European Chooser.
192. Real Options—Jump-Diffusion Option Using Quadranomial Lattices.
193. Real Options—Mean-Reverting Calls and Puts Using Trinomial Lattices.
194. Real Options—Multiple Assets Competing Options.
195. Real Options—Path-Dependent, Path-Independent, Mutually Exclusive, Non–Mutually Exclusive, and Complex Combinatorial Nested Options.
196. Real Options—Sequential Compound Options.
197. Real Options—Simultaneous Compound Options.
198. Real Options—Simple Calls and Puts Using Trinomial Lattices.

Part 3: Real Options Strategic Case Studies—Framing the Options.
199. Real Options Strategic Cases—High-Tech Manufacturing: Build or Buy Decision with Real Options.
200. Real Options Strategic Cases—Oil and Gas: Farm-Outs, Options to Defer, and Value of Information.
201. Real Options Strategic Cases—Pharmaceutical Development: Value of Perfect Information and Optimal Trigger Values.
202. Real Options Strategic Cases—Option to Switch Inputs.
203. Valuation—Convertible Warrants with a Vesting Period and Put Protection.
APPENDIX A: List of Models.
APPENDIX B: List of Functions.
APPENDIX C: Understanding and Choosing the Right Probability Distributions.
APPENDIX D: Financial Statement Analysis.
APPENDIX E: Exotic Options Formulae.
APPENDIX F: Measures of Risk.
APPENDIX G: Mathematical Structures of Stochastic Processes.
Glossary of Input Variables and Parameters in the Modeling Toolkit Software.
About the DVD.
About the Author.
Index.




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