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2023 | Buch

Introduction Kapitel lesen Erstes Kapitel lesen

Essentials of Excel VBA, Python, and R

Volume II: Financial Derivatives, Risk Management and Machine Learning

verfasst von: John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee

Verlag: Springer International Publishing

Enthalten in: Springer Professional "Wirtschaft+Technik" , Springer Professional "Technik" , Springer Professional "Wirtschaft"

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Über dieses Buch

This advanced textbook for business statistics teaches, statistical analyses and research methods utilizing business case studies and financial data with the applications of Excel VBA, Python and R. Each chapter engages the reader with sample data drawn from individual stocks, stock indices, options, and futures. Now in its second edition, it has been expanded into two volumes, each of which is devoted to specific parts of the business analytics curriculum. To reflect the current age of data science and machine learning, the used applications have been updated from Minitab and SAS to Python and R, so that readers will be better prepared for the current industry.
This second volume is designed for advanced courses in financial derivatives, risk management, and machine learning and financial management. In this volume we extensively use Excel, Python, and R to analyze the above-mentioned topics. It is also a comprehensive reference for active statistical finance scholars and business analysts who are looking to upgrade their toolkits. Readers can look to the first volume for dedicated content on financial statistics, and portfolio analysis.

Inhaltsverzeichnis

Frontmatter
Chapter 1. Introduction
Abstract
In Volume I of this book, we have shown how Excel VBA, Python, and R can be used in financial statistics analysis and portfolio analysis. In this volume, we will further demonstrate how these tools can be used to perform financial derivatives, machine learning, risk management, financial management, and financial analysis. In Sect. 1.2, we briefly describe the contents of Chap. 1 of Volume 1.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee

Excel VBA

Frontmatter
Chapter 2. Introduction to Excel Programming and Excel 365 Only Features
Abstract
A lot of the work done by an Excel user is repetitive and time-consuming.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 3. Introduction to VBA Programming
Abstract
In the previous chapter, we mentioned that VBA was Excel’s programming language. It turns out that VBA is the programming language for all Microsoft Office applications. In this chapter, we will study VBA and specific Excel VBA issues.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 4. Professional Techniques Used in Excel and VBA
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee

Financial Derivatives

Frontmatter
Chapter 5. Binomial Option Pricing Model Decision Tree Approach
Abstract
Microsoft Excel is one of the most powerful and valuable tools available to business users.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 6. Microsoft Excel Approach to Estimating Alternative Option Pricing Models
Abstract
This chapter shows how Microsoft Excel can be used to estimate call and put options.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 7. Alternative Methods to Estimate Implied Variance
Abstract
In this chapter, we will introduce how to use Excel to estimate implied volatility. First, we use approximate linear function to derive the volatility implied by Black–Merton–Scholes model.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 8. Greek Letters and Portfolio Insurance
Abstract
In Chapter 26, we have discussed how the call option value can be affected by the stock price per share, the exercise price per share, the contract period of the option.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 9. Portfolio Analysis and Option Strategies
Abstract
The main purposes of this chapter are to show how excel programs can be used to perform portfolio selection decisions and to construct option strategies.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 10. Simulation and Its Application
Abstract
In this chapter, we will introduce Monte Carlo simulation which is a problem-solving technique. This technique can approximate the probability of certain outcomes by using random variables, called simulations.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee

Applications of Python, Machine Learning for Financial Derivatives and Risk Management

Frontmatter
Chapter 11. Linear Models for Regression
Abstract
The goal of regression is to predict the target value y as a function f(x) of the d-dimensional input variables x
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 12. Kernel Linear Model
Abstract
The kernel concept was introduced into the field of pattern recognition by (Aizerman et al. 1964).
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 13. Neural Networks and Deep Learning Algorithm
Abstract
In Chap. 11, we considered a model f(x) = \({\varvec{\phi}}\left({{\varvec{x}}}_{i}\right){\varvec{w}}\), where the initial input vector x is replaced by feature vector ϕ(x) = [ϕ0(x), …, ϕM(x)]′. As ideal basis functions ϕ(x) should be localized or adaptive w.r.t. x, we cluster the input dataset {xi|1 ≤ i ≤ N} ⊂ RD into M clusters, and let {μj, 0 ≤ j ≤ M-1} will be the centers of the clusters.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 14. Alternative Machine Learning Methods for Credit Card Default Forecasting*
By Huei-Wen Teng, National Yang Ming Chiao Tung University, Taiwan
Abstract
Following de Mello and Ponti (Machine learning: a practical approach on the statistical learning theory. Springer, 2018), Bzdok et al. (Nat Methods 15:233–234, 2018), and others, we can define machine learning as a method of data analysis that automates analytical model building.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 15. Deep Learning and Its Application to Credit Card Delinquency Forecasting
By Ting Sun, The College of New Jersey
Abstract
This chapter aims to introduce the theory of deep learning (also called deep neural networks (DNNs)) and provides an example of its application to credit card delinquencies prediction.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 16. Binomial/Trinomial Tree Option Pricing Using Python
Abstract
The Binomial Tree Option Pricing model is one the most famous models used to price options.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee

Financial Management

Frontmatter
Chapter 17. Financial Ratio Analysis and Its Applications
Abstract
In this chapter, we will briefly review four financial statements from Johnson & Johnson.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 18. Time Value of Money Determinations and Their Applications
Abstract
The concepts of present value, discounting, and compounding are frequently used in most types of financial analysis. This chapter discusses the concepts of the time value of money and the mechanics of using various forms of the present value model. These ideas provide a foundation that is used throughout this book.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 19. Capital Budgeting Method Under Certainty and Uncertainty
Abstract
Having examined some of the issues surrounding the cost of capital for a firm, it is time to address a closely related topic, the selection of investment projects for the firm.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 20. Financial Analysis, Planning, and Forecasting
Abstract
This chapter covers alternative financial planning models and their use in financial analysis and decision-making.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee

Applications of R Programs for Financial Analysis and Derivatives

Frontmatter
Chapter 21. Hedge Ratio Estimation Methods and Their Applications
Abstract
One of the best uses of derivative securities such as futures contracts is in hedging. In the past, both academicians and practitioners have shown great interest in the issue of hedging with futures. This is quite evident from the large number of articles written in this area.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 22. Application of Simultaneous Equation in Finance Research: Methods and Empirical Results
By Fu-Lai Lin, Da-Yeh University, Taiwan
Abstract
Simultaneous equation models have been widely adopted in finance literature. It is suggested that the relation, particularly the interaction, among corporate decisions, firm characteristics, and firm performance should be contemporaneously determined.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Chapter 23. Three Alternative Programs to Estimate Binomial Option Pricing Model and Black and Scholes Option Pricing Model
Abstract
In Chap. 5, we use Microsoft Excel programs to create large decision trees for the binomial pricing model to compute the prices of call and put options.
John Lee, Jow-Ran Chang, Lie-Jane Kao, Cheng-Few Lee
Metadaten
Titel
Essentials of Excel VBA, Python, and R
verfasst von
John Lee
Jow-Ran Chang
Lie-Jane Kao
Cheng-Few Lee
Copyright-Jahr
2023
Electronic ISBN
978-3-031-14283-3
Print ISBN
978-3-031-14282-6
DOI
https://doi.org/10.1007/978-3-031-14283-3