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FINANCIAL MODELS USING SIMULATION AND
OPTIMIZATION
Wayne Winston
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Fiyatı:
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Table
of Contents
Chapter 1: Sensivity Analysis with Data Tables
Introduction to Solver Goal Seek
Using Goal Seek to find the “Indifference Point”
Two Wat Data Tables and an Introduction to Solver
Using Solver to Maximize Profit
Two-Way Data Tables and Desicion Making Under Uncertainty
Chapter 2: Simple Linear Regression-Estimating Fixed and
Variable Cost
Fitting a Straight Line to Data
Regression with the Analysis Toolpak: Hypothesis Testing in
Regression
Testing the Significance of the Linear Relationship
Chapter 3: Fitting Exponential Grwoth-Estimating the
Growth Rate of Microsoft
Accuracy of Forecasts
Chapter 4: The Power Model-Fitting the Learning Curve
Which Curve Fits Best?
Other Trend-line Functions
Chapter 5: Fitting an S-Shaped Curve
The Pearl Curve
The Gompertz Curve
Chapter 6: Using Multiple Regression to Forecast Auto
Sales
Interpreting Regression Output
Validation of the Regression
Chapter 7: Using Polynominal Regression to Resolve
Nonlinearities
Chapter 8: The Multiplicative Model-Estimating Demand
Chapter 9: Using the Pivot Table Report and Rgression to
Analyze Market Efficiency
Using the Pivot Table Report
Using Regression to Look for Market Inefficiencies
Using a Neural Network to Look for Patterns
The January Effect
Chapter 10: Testing Investment Strategies
Chapter 11: The Bass Model for Sales of a Product
Chapter 12: Fitting the Yield Curve
Fitting the Yield Curve
Generating Implied Forward Rates
Chapter 13: Determining Monthly Loan Payments
Using the Solver to Find the Monthly Payment
Chapter 14: Funding a Pension Liability
Chapter 15: Multiperiod Capital Budgeting
Chapter 16: Portfolio Optimization with Solver
Finding the Mean and Variance of a Portfolio
Finding The Efficient Frontier
The Scenario Approach to Portfolio Optimization
Chapter 17: An Introduction to Evolver-The Fixed Charge
Problem
An Introduction to Genetic Algorithims
Introduction to Evolver
Chapter 18: Using Evolver to Maximize the Chance of
Beating S and P Index
Chapter 19: A Portfolio Approach to Project Selection
Using Evolver to Select the Projects
Chapter 20: Using AHP and Solver for Project Selection
AHP Analysis
Setting Up the Solver Model
Chapter 21: Selecting Drivers for an ABC Costing System
Using Solver to Dtermine an Optimal Set of Drivers
Chapter 22: Pricing Models with Solver
Tie-Ins and Pricing
Chapter 23: Nonlinear Pricing
Finding the Optimal Two-Part Tariff
Chapter 24: Price Bundling
Chapter 25: Duration and Immunization Aganist Interest Rate
Risk
Pricing Bonds
Quasi-Modified Duration and Interest Rate Risk
Immunization and Interest Rate Risk
Duration Matching
Chapter 26: Finding Arbitrage Opportunities
An Example with No Arbitrage
Chapter 27: Introduction to @RISK – The Newsperson
Problem
Finding Confidence Interval for Expected Profit
Normal Demand
Chapter 28: Simulating a New Product-The Hippo Example
Tornado Graphs and Scenarios
Chapter 29: Using @RISK to Determine Plant Capacity
Chapter 30: Utility Theory and Simulation
Fitting the Utility Curve
Simulating the Capacity Desicion
Finding the Certainty Equivalent of the Optimal Desicion
Chapter 31: Simulating Development of a New Drug
Interpreting the Tornado Graphs
Chapter 32: Using Simulation to Model an Acquisition
Modelling the Cash Flows
Chapter 33: Simulating Pro Forma Financial Statements
Estimation of Model Parameters
Setting Up the Spreadsheet
Running the Simulation
Chapter 34: The Value of a Customer
Chapter 35:The RISKGeneral Function
Chapter 36: Using Data to Obtain Inputs for New Product
Simulations
The Scenario Approach to Modelling Volume Uncertainty
Modelling Market Share’s Response to Competition
Simulating Market Share for a New Product
Modelling Price Uncertainty
Simulating the Price of A New Product
Modeling Statistical Relationships with One Independed
Variable
Modeling Statistical Relationships Involving More than
Independed Variable
Simulating Sales of a New Product with the Bass Model
Chapter 37: Obtaining a Distribution of IRR’s
Chapter 38: Using Presicions Tree to Analyze Desicion Trees
Using Precision Tree
Sensivity Analysis
Chapter 39: Combining TopRank and @RISK for Simulation
Analysis
Running an @RISK Simulation
Chapter 40: The Risk Neutral Approach to Option Pricing
Chapter 41: The Lognormal Model of Stock Prices
Risk Neutral Valuation
Finding Mean and Variance of a Lognormal Random Variable
Chapter 42: Pricing European Puts and Calls by Simulation
Using Simulation to Price the Put
Chapter 43: Pricing Exotic Options
Chapter 44: Pricing an “As You Like It” Option
Chapter 45: Finding Value at Risk (VAR) of a Portfolio
Chapter 46: Finding Confidence Intervals for Percentiles
Chapter 47: Doing VAR and Pricing Options Involving
Correlated Stocks
Pricing Options on Correlated Stocks
Chapter 48: Computing VAR for Forwards and Futures
Pricing of Futures Contracts
Chapter 49: Hedging with Features
An Overview of Hedging
Chapter 50: Foreign Exchange Options and Hedging Foreign
Exchange Risk
Chapter 51: Modeling Mean Reverting Process
Simulating a Mean Reverting Process
Chapter 52: Simulating Exchange Risk: Valuing a Foreign
Currency Swap
Where is the Uncertainty?
Simulating the Swap
Chapter 53: Simulating Yield Curve Movements Based on
Historical Data
Running an @RISK Simulation of Future Yield Curves
Fixed Rate or ARM?
Valuing Interest Rate Derivatives
Chapter 54: Delta Hedging
Chapter 55: Using the Risk-Neutral Approach to Value Real
Options
An Abandonment Option
An Option to Postpone (Based on Trigeorgis (1995) )
Valuing the Option to Expand
Valuing the Option to Contract
A “Pioner” Option
Chapter 56: Pricing an American Option with Binomial
Trees
The Stock Price Tree
Computing the Early Exercises Boundary
Simulating the Actual Cash Flows from an American Option
Chapter 57: Using Real Options to Value a Lease on a Gold
Mine
Chapter 58: Valuing an Option to Purchase a Company
When Do We Buy?
Chapter 59: M2-A Risk-Adjusted Measure of Portfolio
Return
Spreadsheet Implementation of M2
Chapter 60: Maximizing Long-Therm Growth-The Kelly
Criteria
Simulating Long-Therm Growth
Chapter 61: @RISK and Macros-The Birthday Problem and
Keno
How to Play Keno
Chapter 62: Simulating the NCAA Tournament
Chapter 63: Using the Solver with @RISK
Setting up the Solver Model
@RISK Crib Sheet
@RISK Icons
Graphing
Targets
Extracting Data
Sensivity
Scenario
Section II-@RISK Functions
RISKDiscrete Function
RiskSimtable Function
RISKDUniform Function
Binomial Distribution
The Normal Random Variable
RISKTriang
RISKTrigen Function
RISKUniform Function
The RISKGeneral Function
Modeling Correlations
RISKTNormal Function
RISKPert Function |
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