Financial Modeling with Crystal Ball and Excel (Wiley Finance)

Book Description

Praise for
Financial Modeling with Crystal Ball(r) and Excel(r)

"Professor Charnes's book drives clarity into applied Monte Carlo analysis using examples and tools relevant to real-world finance. The book will prove useful for analysts of all levels and as a supplement to academic courses in multiple disciplines."
-Mark Odermann, Senior Financial Analyst, Microsoft

"Think you really know financial modeling? This is a must-have for power Excel users. Professor Charnes shows how to make more realistic models that result in fewer surprises. Every analyst needs this credibility booster."
-James Franklin, CEO, Decisioneering, Inc.

"This book packs a first-year MBA's worth of financial and business modeling education into a few dozen easy-to-understand examples. Crystal Ball software does the housekeeping, so readers can concentrate on the business decision. A careful reader who works the examples on a computer will master the best general-purpose technology available for working with uncertainty."
-Aaron Brown, Executive Director, Morgan Stanley, author of The Poker Face of Wall Street

"Using Crystal Ball and Excel, John Charnes takes you step by step, demonstrating a conceptual framework that turns static Excel data and financial models into true risk models. I am astonished by the clarity of the text and the hands-on, step-by-step examples using Crystal Ball and Excel; Professor Charnes is a masterful teacher, and this is an absolute gem of a book for the new generation of analyst."
-Brian Watt, Chief Operating Officer, GECC, Inc.

"Financial Modeling with Crystal Ball and Excel is a comprehensive, well-written guide to one of the most useful analysis tools available to professional risk managers and quantitative analysts. This is a must-have book for anyone using Crystal Ball, and anyone wanting an overview of basic risk management concepts."
-Paul Dietz, Manager, Quantitative Analysis, Westar Energy

"John Charnes presents an insightful exploration of techniques for analysis and understanding of risk and uncertainty in business cases. By application of real options theory and Monte Carlo simulation to planning, doors are opened to analysis of what used to be impossible, such as modeling the value today of future project choices."
-Bruce Wallace, Nortel

Customer Reviews:

goes beyond deterministic assumptions.......2007-06-24

The book is all about simulations. In financial modelling, as opposed to engineering or science. Readers from the latter 2 fields who have coded simulations will find much in common. The specific equations in the text for finance are largely different from what you've met before. But the basic treatment is essentially the same.

Typically, the text will describe some financial equation. The Crystal Ball program lets you easily generate random data as input to simulations, which it then runs.

Despite Excel in the book's title, the book is mostly about using Crystal Ball. Charnes shows how you can go well beyond a simple deterministic treatment of an income statement or balance sheet. Typically, most companies just use the deterministic approach. The danger is that this approach relies on certain assumptions. Using Crystal Ball and the book, you can test the effect of relaxing these assumptions on the balance sheet. A more robust approach to financial planning.

Financial Modeling with Crystal Ball and Excel.......2007-05-13

Acho que faltou um pouco mais de detalhes nos tópicos, porém o livro apresenta excelente modelos técnicos.

Modeling Risk: Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, and Optimization Techniques (Wiley Finance)

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A 600-Page Advertisement
Applying Monte Carlo Simulation

Modeling Risk: Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, and Optimization Techniques (Wiley Finance)
Johnathan Mun
Manufacturer: Wiley
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Real Options Analysis: Tools and Techniques for Valuing Strategic Investment and Decisions, 2nd Edition (Wiley Finance)
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Financial Modeling with Crystal Ball and Excel (Wiley Finance)
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Real Options, Revised Edition: A Practitioner's Guide

ASIN: 0471789003

Book Description

This completely revised and updated edition of Applied Risk Analysis includes new case studies in modeling risk and uncertainty as well as a new risk analysis CD-ROM prepared by Dr. Mun. On the CD-ROM you'll find his Risk Simulator and Real Options Super Lattice Solver software as well as many useful spreadsheet models.

"Johnathan Mun's book is a sparkling jewel in my finance library. Mun demonstrates a deep understanding of the underlying mathematical theory in his ability to reduce complex concepts to lucid explanations and applications. For this reason, he's my favorite writer in this field."
—Janet Tavakoli, President, Tavakoli Structured Finance, Inc. and author of Collateralized Debt Obligations and Structured Finance

"A must-read for product portfolio managers . . . it captures the risk exposure of strategic investments, and provides management with estimates of potential outcomes and options for risk mitigation."
—Rafael E. Gutierrez, Executive Director of Strategic Marketing and Planning, Seagate Technology, Inc.

"Once again, Dr. Mun has created a 'must-have, must-read' book for anyone interested in the practical application of risk analysis. Other books speak in academic generalities, or focus on one area of risk application. [This book] gets to the heart of the matter with applications for every area of risk analysis. You have a real option to buy almost any book?you should exercise your option and get this one!"
—Glenn Kautt, MBA, CFP, EA, President and Chairman, The Monitor Group, Inc.

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Customer Reviews:

A 600-Page Advertisement.......2007-04-26

I found the discussion on nonparametric simulation, though brief, to be very helpful. The book also inspired me to use Excel's Solver in ways I had not considered before.

Beyond that, I was disappointed. The book is poorly edited and lacks a coherent structure. Once in a while, entire strings of paragraphs are repeated in two different parts of the book. More serious, however, is the fact that the book is largely an advertisement for the author's proprietary software.

If you are looking for a few techniques that you can apply in an Excel environment, you will find a few nuggets here and there. However, you will mostly be skimming through the 600 pages of rambling discussion.

Applying Monte Carlo Simulation.......2007-03-30

In the first few chapters the author is certainly successful in making the argument why one should use simulation rather than point estimates. However, the case studies are somewhat vague because the author presents the problem and discusses results of the simulation (using the Risk Simulator S/W) but leaves you wondering how he setup up the model to run this simulation and come up with the results(not even available in the excel examples on the CD). Clear examples of this case include the example on pages 75, 76 & the "Financial Planning" example on page 219.

As an IT Project manager, I didn't find it very helpul in addressing my problems and I wouldn't recommend it for people who want to learn about simulation without going too technical

Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel

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Blows Away All Other Intro Texts
Interactive Guide to UNDERSTANDING econometrics

Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel
Humberto Barreto , and Frank Howland
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

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Modeling Risk: Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, and Optimization Techniques (Wiley Finance)
Financial Modeling with Crystal Ball and Excel (Wiley Finance)
Simulation Techniques in Financial Risk Management (Statistics in Practice)
Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)
Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide.Book & CD-ROM

ASIN: 0521843197

Book Description

This highly accessible and innovative text (and accompanying CD-ROM) uses Excel (R) workbooks powered by Visual Basic macros to teach the core concepts of econometrics without advanced mathematics. It enables students to run monte Carlo simulations in which they repeatedly sample from artificial data sets in order to understand the data generating process and sampling distribution. Coverage includes omitted variables, binary response models, basic time series, and simultaneous equations. The authors teach students how to construct their own real-world data sets drawn from the internet, which they can analyze with Excel (R) or with other econometric software.

Customer Reviews:

Blows Away All Other Intro Texts.......2006-05-31

I am only half finished with this book, but since there is only one other review, I want to get my thoughts up NOW. I may add to them when I have finished.

My wife is an econ major at a small school with very few econ majors. Econometrics is not offered as a course. Although as a practical businessman with a preference for Austrian school economic theory I have a healthy scepticism about quantitative macroeconomic (especially) formulas, I have told my wife that she can not be a part of today's theoretical discussions without a basic understanding of econometrics. I promised to help her self-study this topic, and have reviewed a number of supposedly "introductory" texts (to remain nameless, but they are standards)that have lost me within 50 pages. Neither my wife nor I have calculus or matrix algebra. However, even those texts that say they do not rely on such math knowledge are still confusing. Until now.

Barreto's text is a wonder. The other review gives solid examples of why this is. Let me just say that you will be able to see econometric principles in action. The explanations are incredibly clear, and the work on the beefed up excel spreadsheets effectively demonstrates those explanations. I know this will be difficult to believe, but the text is actually fun to read. My wife and I both have college algebra, business statistics, and basic excel. That's all you need to use this book.

Every university should adopt this book as the intro econometrics text. It provides an approach to learning the topic that is accessible to any intelligent econ student. Those going on to PhD work could supplement with calculus, matrix algebra, and one of the other so-called intro texts. Barreto provides a way for normal econ students to understand econometrics, something that all econ students should be required to do. (Even though much of econometrics is nonsense, knowledge of its applications and mis-applications is still the ticket to being taken seriously in economic debate.)

I only wish I could give this book more than 5 stars. It is a stunning achievement.

Interactive Guide to UNDERSTANDING econometrics.......2006-02-16

When I was a new graduate student I ended up buying several different econometrics texts. No one text had the best explanation for each topic. The problem remained that for many topics I never did find a book which translated the formal mathematical presentation into a practical worked out example, so that I could understand the procedure and how to implement it.

This book and accompanying CD-ROM does that and much more.

Every topic includes guided Microsoft Excel spreadsheets and add-ins which illustrate the topic being addressed. The text clearly explains not only the HOW, but the WHY. The economics and the econometrics are presented with such clarity and unity; bridging the two in a way that none of the other texts do.

In Barreto and Howlands book/CD package you interact with the data and the graphs (they include a superior add-in for creating histograms), and run Monte Carlo simulations to see the behavior of the estimators in repeated sampling. These are "live" spreadsheets that invite you to experiment. For example; there is an Excel workbook which illustrates the correlation coefficient. Rather than a dry recitation of formula and proof, you can interact with the spreadsheet and see exactly how the same coefficient can apply to data having very different patterns. It is one thing to see an illustration, and quite another to actually be the one creating the diagram, simply by running the macros and changing parameters. This "hands on" approach is so vital to actually getting an understanding of the material. I have only a basic understanding of Excel, and have had no difficulties in using the workbooks.

While the limits of Excel are pointed out by the authors, it is important to note the reason for using Excel. It is widely understood and available; there is no learning curve. By using Excel there is no software barrier between the student and understanding the principles of econometric modelling. In less than 1/2 hour I took the data and example of a Probit model using Maximum Likelihood estimation from a course web site from across the country and replicated the results using the add-in provided. Most of that time was used to extract the data from a .pdf file and get it formatted properly for Excel. Once I had the data in Excel, it took less than 2 minutes to run the Probit estimation (my first time using that add-in!) By the way, the results using the authors add-in for solving Probit models with ML estimation were the same as the results from GAUSS code to do the same. The add-in had a distinct advantage though in that a choice for Probit or Logit model estimation using either Non Linear Least Squares or the Maximum Likelihood estimation was just a radio button away! This text can complement any course, regardless of the software used.

Again, the beauty of the book is that you are not just left with Greek formulas that leave you wondering how to do the computations, and you are not left with computer output leaving you to wonder how to interpret that output. The text explains the meaning so powerfully that you are not only armed with an understanding which is useful for success in your course work, but also for applying the quantitative tools in real world analysis and applications. The text is like going to see your favorite professor who is sitting there with you one on one, giving you insight which only comes from experience.

I've been through courses that use Greene, and Judge, as well as introductory texts. This text stands alone in making use of the computing power we have at our disposal today, not to produce more computer printouts, but rather to increase our understanding--providing the sound reasoning for applying that power.

I should add that even after two years of statistics and econometrics I learned quite a lot from the statistics review chapters. Don't be misled by the "Introductory" title. I had learned and executed Artificial Neural Network models in graduate courses, but still learned a lot from the section on correlation in this book. For undergrad students this book will put you on the right path. For grad students it will correct blind spots and misconceptions.

I highly recommend this book/CD package to any econometrics student and to practicing analysts that use regression analysis. The authors have created a product that I wish I had when I was in school, but am glad I found now for applying in my career.

Detailed info on contents as well as the Excel files and add-ins are available from the authors' web site which I found prior to ordering from Amazon. Once I tried the workbooks, I knew I wanted the book. It's 800 pages of solid information and inspired teaching.

http://www.wabash.edu/econometrics/index.htm

Quantitative Risk Analysis: A Guide to Monte Carlo Simulation Modelling

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Risk Analysis
Best Book for Quantitative Risk Analysis
1st edition more useful to a practitioner than the 2nd
Rigouros, clear and practical
Risk Analysis: A Quantitative Guide

Quantitative Risk Analysis: A Guide to Monte Carlo Simulation Modelling
David Vose
Manufacturer: John Wiley & Sons Ltd (Import)
ProductGroup: Book
Binding: Hardcover

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Foundations of Risk Analysis: A Knowledge and Decision-Oriented Perspective

ASIN: 0471958034

Book Description

Risk Analysis A Quantitative Guide Risk and uncertainty are key features of most business and government problems and need to be understood for rational decisions to be made. This book concerns itself with the quantification of risk, the modelling of identified risks and how to make decisions from those models. Following on from the success of the previous edition of this clearly written and highly regarded book, this edition is extensively revised and updated and will provide an invaluable practical guide for beginners and experienced practitioners alike. Quantitative risk analysis (QRA) using Monte Carlo simulation offers a powerful and precise method for dealing with the uncertainty and variability of a problem. By providing the building blocks the author guides the reader through the necessary steps to produce an accurate risk analysis model and offers general and specific techniques to cope with most modelling problems. A wide range of solved problems is used to illustrate these techniques and how they can be used together to solve otherwise complex problems. Reviews of the first edition "It identifies the various facets of risk analysis and provides a valuable reference to the concepts and techniques employed." Project, 1997 "It clearly explains many essential aspects of quantitative risk analysis . provides valuable techniques and sound professional advice." Journal of Behavioral Decision Making, Vol. 12, 1999 "The book offers a powerful method for dealing with risk and uncertainty." Zentralblatt für Mathematik, Band 908, 1999

Customer Reviews:

Risk Analysis.......2006-05-24

A very good book, but a bit too much mathematical detail in deriving formulas for probability distributions; could use better descriptions of when to use each probability distribution.

Best Book for Quantitative Risk Analysis.......2004-04-25

I believe that this book is the best of many Risk Analysis books. The book's structure, starting from fundamental topics and guiding to advanced topics, is excellent. So, I translated this book into Japanese! You will make the best use of the book with Excel add-in Monte Carlo simulation software like @Risk and Crystal ball that you can get its trial version from the vendor's site(free!). But, the value of this book is not decreased with its sophistitated notation even if you don't have such software. You can enjoy the logic of Quantitative Risk Analysis. Now, the author is preparing his original software. I hope it will be as valuable as this book.

1st edition more useful to a practitioner than the 2nd.......2003-10-18

Unlike in the first edition, the author seems to have tried his best to eliminate any reference to any simulation software in the second edition. Result: it now reads like any academic simulation text, only less. The first edition wasn't broke. Why fix it? Bring back the classic Vose!

Rigouros, clear and practical.......2003-04-20

This book gives a deep insight into the state of the art and recent developments of quantitative risk analysis using simulation methods. Describes topics such as second order risk analysis I never heard about before. I used the knowledge drawn from this book to write some technical papers (published on peer-reviewed journals and seminars proceedings). Specialized software, such as @-risk and crystal ball is not strictly needed to carry out the risk-analysis systems suggested by the author (but pretty advanced skills with excel or use of math softwares are required). The specific subject of the book is risk modelling by Monte Carlo Simulation and Bayesan analysis; it does not deal with fuzzy models or other uncertainty-propagation methods. I highly reccomend this book to anyone interested into the specific subject.

Risk Analysis: A Quantitative Guide.......2001-08-25

I purchased this book to learn to write simulation equations in excel but only found it was a manual ( type book ) with good information for a very expensive software I did not have....If you have RISK software, it is a great book to have... I returned my copy w/o scanning the entire book.

Simulation and Monte Carlo: With applications in finance and MCMC

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Simulation and Monte Carlo: With applications in finance and MCMC
J. S. Dagpunar
Manufacturer: Wiley
ProductGroup: Book
Binding: Paperback

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ASIN: 0470854952

Book Description

Simulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation.

Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the book. This encourages readers to adopt a hands-on approach in the effective design of simulation experiments.

Book Description

This book concentrates on the theory of mathematical finance and the pricing of derivatives around the theory. The topics are presented from their mathematical foundations to their real-world implementation (through pricing models) using state-of-the art object oriented programming techniques. While a high standard of mathematical precision is retained throughout the book, the emphasis remains on practical motivations, interpretations, and results. The book harmonizes theory, practical modeling, and financial methods under one convenient cover.

Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)

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Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)
Gianluca Fusai , and Andrea Roncoroni
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)

ASIN: 3540223487

Book Description

This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab ^® or Visual Basic for Applications ^® in collaboration with contributors.

Average customer rating:

Contents are good, typos are terrible.

Monte Carlo Simulation and Finance
Don L. McLeish
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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ASIN: 0471677787

Book Description

Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon.

This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.

Download Description

"Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon.

This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today."

Customer Reviews:

Contents are good, typos are terrible........2007-08-29

I have an advanced degree from physics, and found that the contents in this book are well balanced between fincial math and physical/financial models. The author definitely knows how to cut short at various points where very advanced math (even beyond my phd degree in physics) are needed. Instead, the author smartly explain only some fast results or theorems. This really makes them very easy to go through, and lets readers focus on the models instead of rigious math. The MATLAB codes are very helpful as well. Question problems are designed very well too.

Downsides: Typos are terrible. On some pages, typos make it impossible to read. But it's fun to figure them out. Also, at several points, the author used very confusing symbols, such as he used "j" for the maturity time of option (pg 108). Also, in some sections, the logic of writing was very vagous, i.e., you will read some results without knowing what they are here for, but you will see that they are used at the end of the section. Then you have to go through the whole section quickly to orgonize the content in correct order in your head.

Generally, it's a nice little book to have. And very helpful to know MC methods in finance.

Monte Carlo Simulation and System Trading. Chance Evaluation, Risk Analysis and Validation of Mechanical Trading Systems

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Monte Carlo Simulation and System Trading. Chance Evaluation, Risk Analysis and Validation of Mechanical Trading Systems
Volker, Butzlaff
Manufacturer: BoD
ProductGroup: Book
Binding: Hardcover

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ASIN: 3833467657

Book Description

System trading with mechanical trading systems world-wide determines increasingly the financial market activities of professional and private traders. Un-fortunately the current success ratio of such systematic trading, i.e. to trade profitable long-term cannot so far keep up with the risen popularity of this method. Reasons for this are among other things insufficient development processes as well as inadequately tested systems. The additional use of Monte Carlo Simulations during the system development and the system test phases contributes to the fact that chance evaluation, risk analysis and validation of mechanical trading systems can be qualitatively improved clearly. Volker Butzlaff, degree as Engineer for Urban Planning, was active many years as project manager, system designer and quality assurance controller in the Information Technology department of DaimlerChrysler in Germany. Today he works as freelance engineer with the emphasis of system development and simulation methodology.

Monte Carlo and Quasi-Monte Carlo Methods 2006

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Monte Carlo and Quasi-Monte Carlo Methods 2006

Manufacturer: Springer
ProductGroup: Book
Binding: Paperback

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ASIN: 3540744959

Book Description

This book represents the refereed proceedings of the Seventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, held in Ulm (Germany) in August 2006. The proceedings include carefully selected papers on many aspects of Monte Carlo and quasi-Monte Carlo methods and their applications, as well as providing information on current research in these very active areas. Besides covering theory, the book is an excellent resource work for practitioners as well.

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