Quantitative Financial Modeling in Microsoft Excel

Quantitative Financial Modeling in Microsoft Excel, available at $34.99, has an average rating of 4.45, with 12 lectures, based on 144 reviews, and has 5340 subscribers.

You will learn about Build a Black-Scholes-Merton option pricing model in MS Excel Build a Binomial option pricing model in MS Excel Estimate the implied volatility of options using Goal Seek Using the Solver function to optimize a portfolio of stocks Build a spreadsheet to run a Monte Carlo Simulation for wealth planning Build a spreadsheet to compute Value at Risk and Conditional VaR (Historical, Gaussian, Cornish Fisher) How to optimize the liquidation of a trading position based on VaR and Trading Liquidity This course is ideal for individuals who are Those interested in financial modeling It is particularly useful for Those interested in financial modeling.

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Summary

Title: Quantitative Financial Modeling in Microsoft Excel

Price: $34.99

Average Rating: 4.45

Number of Lectures: 12

Number of Published Lectures: 12

Number of Curriculum Items: 12

Number of Published Curriculum Objects: 12

Original Price: $39.99

Quality Status: approved

Status: Live

What You Will Learn

Build a Black-Scholes-Merton option pricing model in MS Excel
Build a Binomial option pricing model in MS Excel
Estimate the implied volatility of options using Goal Seek
Using the Solver function to optimize a portfolio of stocks
Build a spreadsheet to run a Monte Carlo Simulation for wealth planning
Build a spreadsheet to compute Value at Risk and Conditional VaR (Historical, Gaussian, Cornish Fisher)
How to optimize the liquidation of a trading position based on VaR and Trading Liquidity

Who Should Attend

Those interested in financial modeling

Target Audiences

Those interested in financial modeling

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 Model

You 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 Model

Using 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 Optimization

You 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 Volatility

You 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.

Course Curriculum

Chapter 1: Black-Scholes-Merton (BSM) Option Pricing Calculator (with Greeks)

Lecture 1: Calculating the Call and Put Option Value

Lecture 2: Calculating the Option Greeks

Chapter 2: Estimating the Implied Volatility of Call / Put Option

Lecture 1: Using Goal Seek to Estimate Option Implied Volatility

Chapter 3: Portfolio Optimization in Excel

Lecture 1: Portfolio Optimization using Solver in Excel

Chapter 4: Binomial Option Pricing Model

Lecture 1: Cox, Ross and Rubinstein (CRR) Binomial Option Pricing Model

Chapter 5: Monte Carlo Simulation in Wealth Planning

Lecture 1: Monte Carlo Simulation in Wealth Planning (Part 1)

Lecture 2: Monte Carlo Simulation in Wealth Planning (Part 2)

Chapter 6: Modeling Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) in Excel

Lecture 1: Historical VaR and CVaR in Excel

Lecture 2: Gaussian VaR and CVaR in Excel

Lecture 3: Cornish-Fisher VaR and CVaR in Excel

Chapter 7: Optimization of VaR and Trading Liquidity Risk in Excel

Lecture 1: Unwinding a Position Optimally (Part 1)

Lecture 2: Unwinding a Position Optimally (Part 2)

Instructors

Fabian Moa
Subject Matter Expert in Finance and Risk Management

Rating Distribution

1 stars: 1 votes
2 stars: 4 votes
3 stars: 18 votes
4 stars: 45 votes
5 stars: 76 votes

Frequently Asked Questions

How long do I have access to the course materials?

You can view and review the lecture materials indefinitely, like an on-demand channel.

Can I take my courses with me wherever I go?

Definitely! If you have an internet connection, courses on Udemy are available on any device at any time. If you don’t have an internet connection, some instructors also let their students download course lectures. That’s up to the instructor though, so make sure you get on their good side!

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