Advanced analytical models: over 800 models and 300 applications from the Basel II accord to Wall St

INDICE: Preface. Acknowledgments. Part I. 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. 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. CreditAnalysis Credit Risk Analysis and Effects on Prices. 12. Credit Analysis External Debt Ratings and Spread. 13. Credit Analysis Federal Reserve Camels Credit Risk Rating System. 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 Priceof 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 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 AssetsOption. 48. Exotic Options Extreme Spreads Option. 49. Exotic Options ForeignEquity 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. 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. 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 Management, Bandwidth Requirements for Streaming Media, and Storage and CPU Demand. 98. Industry Applications InsuranceALM Model. 99. Industry Applications Pensions Closed Group Portfolio Matching. 100. Industry Applications Pensions Accounting Modeling and Optimization. 101. Operational Risk Queuing Models at Bank Branches. 102. Optimization Continuous Portfolio Allocation. 103. Optimization Discrete Project Selection. 104. Optimization Inventory Optimization. 105. Optimization Investment Portfolio Allocation. 106. Optimization Military Portfolio and Efficient Frontier. 107. Optimization Optimal Pricing with Elasticity. 108. Optimization Optimization of aHarvest Model. 109. Optimization Optimizing Ordinary Least Squares. 110. Optimization Stochastic Portfolio Allocation. 111. Options Analysis Binary DigitalInstruments. 112. Options Analysis Inverse Floater Bond. 113. Options Analysis Options Adjusted Spreads on Debt. 114. Options Analysis Options Adjusted Spreads Lattice Maker. 115. Options Analysis Options on Debt. 116. Options Analysis Stepped Up Callable Debt. 117. Options Analysis 5 Plain Vanilla Options. 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 Model. 141. Simulation Data Fitting. 142. Simulation Debt Repayment and Amortization. 143. Simulation Demand Curve and ElasticityEstimation. 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 Test). 152. Six Sigma Sample Size Determination and Design of Experiments (DOE). 153. Six Sigma Statistical and Unit Capability Measures, Specification Levels, and Control Charts. 154. Valuation Buy versus Lease. 155. Valuation Classified Loan Borrowing Base. 156. Valuation Break Even Inventory: Seasonal Lending Trial Balance Analysis. 157. Valuation Firm in Financial Distress.158. Valuation Pricing Loan Fees Model. 159. Valuation Simulation and Valuation. 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. 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. 173. Yield Curve Vasicek Model. Part II. 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

• ISBN: 978-0-470-17921-5
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 1032
• Fecha Publicación: 14/05/2008
• Nº Volúmenes: 1
• Idioma: Inglés