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所在平台: Udemy |
课程主页: https://www.udemy.com/course/intro-to-quantitative-financial-modeling-in-excel/
课程评论：没有评论
课程名称：微软Excel中的定量金融建模 概述：Excel是理解金融建模复杂性的出色工具。本课程每一部分的目标是使用Excel解释模型的实现。课程中讨论的模型包括： 1. **Black-Scholes-Merton（BSM）期权定价模型**：学习如何利用BSM模型计算欧洲风格看涨和看跌期权的价格，包括考虑底层股票支付股息的情况。同时，将计算期权的希腊值：Delta、Gamma、Vega、Theta和Rho。 2. **二项式期权定价模型**：通过VBA，学习如何基于Cox-Ross-Rubinstein（CRR）模型，为欧洲风格的看涨和看跌期权创建计算器。 3. **投资组合优化**：学习使用Solver功能来寻找股票投资组合的最佳资产配置。学习下载股票数据并导入Excel，计算收益、方差、协方差和Sharpe比率。 4. **期权隐含波动率**：使用Goal Seek功能，根据期权的市场价格找到看涨和看跌期权的隐含波动率。 5. **风险价值（VaR）和条件风险价值（CVaR）**：包括历史方法、高斯方法和Cornish-Fisher方法（2020年6月4日新增）。通过选择的股票，计算历史VaR和历史CVaR、高斯VaR和高斯CVaR、Cornish-Fisher VaR和Cornish-Fisher CVaR。 6. **VaR和交易流动性风险的优化：最优平仓（2020年6月4日新增）**：首先计算平仓成本，考虑市场风险暴露（以VaR度量）和清算成本（以买卖差价度量）。然后，确定最优平仓期，以最小化市场风险和清算成本。 为了更好地利用该课程，建议在观看视频时尝试构建模型。
Excel is an excellent tool for understanding the intricacies involved in financial modeling. The aim in each section of the course is to explain the implementation of the models using Excel.The models discussed in this course:1) Black-Scholes-Merton (BSM) Option Pricing ModelYou will learn to calculate the price of a European-style call and put option using the Black-Scholes-Merton option pricing model. This includes cases where the underlying stock pays dividend.After that, you will compute the Option Greeks: Delta, Gamma, Vega, Theta, and Rho for the call and put options.2) Binomial Option Pricing ModelUsing VBA, you will learn to create the calculator for a European-style call and put option using the binomial option pricing model, based on Cox-Ross-Rubinstein (CRR) model.3) Portfolio OptimizationYou will learn to use the Solver function to find the optimal asset allocation for a portfolio of stocks. You will learn to download the stock data and import into Excel, calculate the returns, variance, covariance and Sharpe ratios.4) Option Implied VolatilityYou will learn to use the Goal Seek function to find the implied volatility of a call and put option based on the market price of the options. 5) Value-at-Risk (VaR) and Conditional Value-at-Risk (CVar): Historical, Gaussian and Cornish-Fisher (NEW! Added on 4th June 2020)Using a selected stock, you will learn to compute the value-at-risk (VaR) and conditional value-at-risk (CVaR) using the historical VaR and historical CVaR, Gaussian VaR and Gaussian CVaR, and Cornish-Fisher VaR and Cornish-Fisher CVaR.6) Optimization of VaR and Trading Liquidity Risk: Unwinding a Position Optimally (NEW! Added on 4th June 2020)First, you will learn to calculate the cost of unwinding a position by considering the market risk exposure (measured by VaR) and the cost of liquidating the position (measured by the bid-ask spread). Then, you will determine the optimal liquidation period to minimize the market risk and cost of liquidation.To benefit from this course, it is advisable that you try building the models as you go through the videos.
