Data Analysis, Data Tables & Excel.
This is our third post in our Data Analysis series using Excel spreadsheets. The series covers correlations, trailing correlations, histograms, pivot charts and data tables. See the following prior posts for data analysis context.
Correlations basics
Data Analysis. 5 tools in twenty minutes
Data Tables introduction
There are many questions that Excel can help [...]
Data Analysis. Using Excel Data Tables for Sensitivity Testing
You have built your financial model, now is the time to test it.
The objective of stress testing or sensitivity testing is to evaluate your financial model across a range of values. Sometimes we do this to test the model, more often the objective is to present a [...]
Yesterday I ran a short twenty minute session for 60 civil activists participating in the city’s first civic hackathon. The topic was data analysis in Excel. Here are my notes from the session.
As a data specialist there are few common themes that I keep running across whenever I open up Excel to do real work.
Understanding [...]
Convexity & Duration calculator for US Treasury Bills, Notes and Bonds.
To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity & Duration) at issue. We will calculate Macaulay, Modified and Effective Duration [...]
Risk Models, Option Pricing & Bank Regulation training for practitioners
A typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on product market, applications or pricing, but not all three. These leaves [...]
Option Pricing – Pricing Exotic Options using Monte Carlo simulators
This is our third post in the Exotic Option pricing using Monte Carlo Simulation series. We walk through the minor tweaks required in our Monte Carlo Simulation model to price Asian, Lookback, Barrier & Chooser Options.
Our assumption is that you have been following our prior posts [...]
Exotic Derivatives & Option pricing weekend challenge
This week exotic option pricing challenge focuses on chooser and compound option pricing using Monte Carlo Simulation in Excel. Hints to the solution will be posted separately within the next 12 hours. Let’s see if you can crack this first before I go ahead and post the solved solution. [...]
Calculating Conditional Value at Risk (CVaR) or Expected Short fall using Historical returns.
Imagine a board meeting where you have just presented your Value at Risk (VaR) analysis and a board member asks a simple question. “So what are we talking about here? What is the expectation? What is the most that we can drop if [...]
Monte Carlo Simulation – Linking financial model to the simulation
Since we have a model for simulating oil prices, we are now ready to link our oil price model to projected financial statements for the airline.
To do this we need to figure out how to link simulated crude oil prices to jet fuel expense on the [...]
Monte Carlo Simulation Model How To Guide
The Monte Carlo Simulation how to guide is a combination of session transcripts and class notes from a lecture on Monte Carlo Simulation applications. The lectures focused on building a solution for the fuel hedging problem for the airline industry. The collection of posts were written to serve as [...]
