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| Preface | |
| Software Applications | |
| 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 | |
| Regression and Forecasting Diagnostic Tool | |
| Statistical Analysis Tool | |
| Distributional Analysis Tool | |
| Portfolio Optimization | |
| Optimization with Discrete Integer Variables | |
| Forecasting | |
| AnalyticsùCentral Limit Theorem | |
| AnalyticsùCentral Limit TheoremùWinning Lottery Numbers | |
| AnalyticsùFlaw of Averages | |
| AnalyticsùMathematical Integration Approximation Model | |
| AnalyticsùProjectile Motion | |
| AnalyticsùRegression Diagnostics | |
| AnalyticsùShips in the Night | |
| AnalyticsùStatistical Analysis | |
| AnalyticsùWeighting of Ratios | |
| Credit AnalysisùCredit Premium | |
| Credit AnalysisùCredit Default Swaps and Credit Spread Options | |
| Credit AnalysisùCredit Risk Analysis and Effects on Prices | |
| Credit AnalysisùExternal Debt Ratings and Spread | |
| Credit AnalysisùInternal Credit Risk Rating Model | |
| Credit AnalysisùProfit Cost Analysis of New Credit | |
| Debt AnalysisùAsset-Equity Parity Model | |
| Debt AnalysisùCox Model on Price and Yield of Risky Debt with Mean-Reverting Rates | |
| Debt AnalysisùDebt Repayment and Amortization | |
| Debt AnalysisùDebt Sensitivity Models | |
| Debt AnalysisùMerton Price of Risky Debt with Stochastic Asset and Interest | |
| Debt AnalysisùVasicek Debt Option Valuation | |
| Debt AnalysisùVasicek Price and Yield of Risky Debt | |
| Decision AnalysisùDecision Tree Basics | |
| Decision AnalysisùDecision Tree with EVPI, Minimax, and BayesÆ Theorem | |
| Decision AnalysisùEconomic Order Quantity and Inventory Reorder Point | |
| Decision AnalysisùEconomic Order Quantity and Optimal Manufacturing | |
| Decision AnalysisùExpected Utility Analysis | |
| Decision AnalysisùInventory Control | |
| Decision AnalysisùQueuing Models | |
| Exotic OptionsùAccruals on Basket of Assets | |
| Exotic OptionsùAmerican, Bermudan, and European Options with Sensitivities | |
| Exotic OptionsùAmerican Call Option on Foreign Exchange | |
| Exotic OptionsùAmerican Call Options on Index Futures | |
| Exotic OptionsùAmerican Call Option with Dividends | |
| Exotic OptionsùAsian Lookback Options Using Arithmetic Averages | |
| Exotic OptionsùAsian Lookback Options Using Geometric Averages | |
| Exotic OptionsùAsset or Nothing Options | |
| Exotic OptionsùBarrier Options | |
| Exotic OptionsùBinary Digital Options | |
| Exotic OptionsùCash or Nothing Options | |
| Exotic OptionsùChooser Option | |
| Exotic OptionsùChooser Option | |
| Exotic OptionsùCommodity Options | |
| Exotic OptionsùCurrency | |
| Exotic OptionsùDouble Barrier Options | |
| Exotic OptionsùEuropean Call Option with Dividends | |
| Exotic OptionsùExchange Assets Option | |
| Exotic OptionsùExtreme Spreads Option | |
| Exotic OptionsùForeign EquityûLinked Foreign Exchange Options in Domestic Currency | |
| Exotic OptionsùForeign Equity Struck in Domestic Currency | |
| Exotic OptionsùForeign Equity with Fixed Exchange Rate | |
| Exotic OptionsùForeign Takeover Options | |
| Exotic OptionsùForward Start Options | |
| Exotic OptionsùFutures and Forward Options | |
| Exotic OptionsùGap Options | |
| Exotic OptionsùGraduated Barrier Options | |
| Exotic OptionsùIndex Options | |
| Exotic OptionsùInverse Gamma Out-of-the-Money Options | |
| Exotic OptionsùJump-Diffusion Options | |
| Exotic OptionsùLeptokurtic and Skewed Options | |
| Exotic OptionsùLookback with Fixed Strike | |
| Exotic OptionsùLookback with Fixed Strike | |
| Exotic OptionsùLookback with Floating Strike | |
| Exotic OptionsùLookback with Floating Strike | |
| Exotic OptionsùMin and Max of Two Assets | |
| Exotic OptionsùOptions on Options | |
| Exotic OptionsùOption Collar | |
| Exotic OptionsùPerpetual Options | |
| Exotic OptionsùRange Accruals | |
| Exotic OptionsùSimple Chooser | |
| Exotic OptionsùSpread on Futures | |
| Exotic OptionsùSupershare Options | |
| Exotic OptionsùTime Switch Options | |
| Exotic OptionsùTrading-Day Corrections | |
| Exotic OptionsùTwo-Asset Barrier Options | |
| Exotic OptionsùTwo Asset Cash or Nothing | |
| Exotic OptionsùTwo Correlated Assets Option | |
| Exotic OptionsùUneven Dividend Payments Option | |
| Exotic OptionsùWriter Extendible Option | |
| ForecastingùData Diagnostics | |
| ForecastingùEconometric, Correlations, and Multiple Regression Modeling | |
| ForecastingùExponential J-Growth Curves | |
| ForecastingùForecasting Manual Computations | |
| ForecastingùLinear Interpolation and Nonlinear Spline Extrapolation | |
| ForecastingùLogistic S-Growth Curves | |
| ForecastingùMarkov Chains and Market Share | |
| ForecastingùMultiple Regression | |
| ForecastingùNonlinear Extrapolation and Forecasting | |
| ForecastingùStochastic Processes, Brownian Motion, Forecast Distribution at Horizon, Jump-Diffusion, and Mean-Reversion | |
| ForecastingùTime-Series ARIMA | |
| ForecastingùTime-Series Analysis | |
| Industry ApplicationsùBiotech Manufacturing Strategy | |
| Industry ApplicationsùBiotech Inlicensing Drug Deal Structuring | |
| Industry ApplicationsùBiotech Investment Valuation | |
| Industry ApplicationùBanking: Integrated Risk Management, Probability of Default, Economic Capital, Value at Risk, and Optimal Bank Portfolios | |
| Industry ApplicationùElectric/Utility: Optimal Power Contract Portfolios | |
| Industry ApplicationùITùInformation Security Intrusion Risk Management | |
| Industry ApplicationsùInsurance ALM Model | |
| Operational RiskùQueuing Models at Bank Branches | |
| OptimizationùContinuous Portfolio Allocation | |
| OptimizationùDiscrete Project Selection | |
| OptimizationùInventory Optimization | |
| OptimizationùInvestment Portfolio Allocation | |
| OptimizationùInvestment Capital Allocation I | |
| OptimizationùInvestment Capital Allocation II | |
| OptimizationùMilitary Portfolio and Efficient Frontier | |
| OptimizationùOptimal Pricing with Elasticity | |
| OptimizationùOptimization of a Harvest Model | |
| OptimizationùOptimizing Ordinary Least Squares | |
| OptimizationùStochastic Portfolio Allocation | |
| Options AnalysisùBinary Digital Instruments | |
| Options AnalysisùInverse Floater Bond | |
| Options AnalysisùOptions-Trading Strategies | |
| Options AnalysisùOptions-Adjusted Spreads Lattice | |
| Options AnalysisùOptions on Debt | |
| Options AnalysisùFive Plain Vanilla Options | |
| Probability of DefaultùBond Yields and Spreads | |
| Probability of DefaultùEmpirical Model | |
| Probability of DefaultùExternal Options Model | |
| Probability of DefaultùMerton Internal Options Model | |
| Probability of DefaultùMerton Market Options Model | |
| Project ManagementùCost Estimation Model | |
| Project ManagementùCritical Path Analysis | |
| Project ManagementùProject Timing | |
| Real EstateùCommercial Real Estate ROI | |
| Risk AnalysisùIntegrated Risk Analysis | |
| Risk AnalysisùInterest Rate Risk | |
| Risk AnalysisùPortfolio Risk Return Profiles | |
| Risk HedgingùDelta-Gamma Hedging | |
| Risk HedgingùDelta Hedging | |
| Risk HedgingùEffects of Fixed versus Floating Rates | |
| Risk HedgingùForeign Exchange Cash Flow Model | |
| Risk HedgingùHedging Foreign Exchange Exposure | |
| SensitivityùGreeks | |
| SensitivityùTornado and Sensitivity Charts Linear | |
| SensitivityùTornado and Sensitivity Nonlinear | |
| SimulationùBasic Simulation Model | |
| SimulationùBest Surgical Team | |
| SimulationùCorrelated Simulation | |
| SimulationùCorrelation Effects on Risk | |
| SimulationùData Fitting | |
| SimulationùDebt Repayment and Amortization | |
| SimulationùDemand Curve and Elasticity Estimation | |
| SimulationùDiscounted Cash Flow, Return on Investment, and Volatility Estimates | |
| SimulationùInfectious Diseases | |
| SimulationùRecruitment Budget | |
| SimulationùRetirement Funding with VBA Macros | |
| SimulationùRoulette Wheel | |
| SimulationùTime Value of Money | |
| Six SigmaùObtaining Statistical Probabilities, Basic Hypothesis Tests, Confidence Intervals, and Bootstrapping Statistics | |
| Six SigmaùOne- and Two-Sample Hypothesis Tests Using t-Tests, Z-Tests, F-Tests, ANOVA, and Nonparametric Tests (Friedman, Kruskal Wallis, Lilliefors, and Runs Tests | |
| Six SigmaùSample Size Determination and Design of Experiments | |
| Six SigmaùStatistical and Unit Capability Measures, Specification Levels, and Control Charts | |
| ValuationùBuy versus Lease | |
| ValuationùBanking: Classified Loan Borrowing Base | |
| ValuationùBanking: Break-Even Inventory with Seasonal Lending Trial Balance Analysis | |
| ValuationùBanking: Firm in Financial Distress | |
| ValuationùBanking: Pricing Loan Fees Model | |
| ValuationùValuation Model | |
| Value at RiskùOptimized and Simulated Portfolio VaR | |
| Value at RiskùOptions Delta Portfolio VaR | |
| Value at RiskùPortfolio Operational and Credit Risk VaR Capital Adequacy | |
| Value at RiskùRight-Tail Capital Requirements | |
| Value at RiskùStatic Covariance Method | |
| VolatilityùImplied Volatility | |
| VolatilityùVolatility Computations | |
| Yield CurveùCIR Model | |
| Yield CurveùCurve Interpolation BIM Model | |
| Yield CurveùCurve Interpolation NS Model | |
| Yield CurveùForward Rates from Spot Rates | |
| Yield CurveùTerm Structure of Volatility | |
| Yield CurveùU.S. Treasury Risk-Free Rates and Cubic Spline Curves | |
| Yield CurveùVasicek Model | |
| Real Options SLS Applications | |
| Introduction to the SLS Software | |
| Employee Stock OptionsùSimple American Call Option | |
| Employee Stock OptionsùSimple Bermudan Call Option with Vesting | |
| Employee Stock OptionsùSimple European Call Option | |
| Employee Stock OptionsùSuboptimal Exercise | |
| Employee Stock OptionsùVesting, Blackout, Suboptimal, Forfeiture | |
| Exotic OptionsùAmerican and European Lower Barrier Options | |
| Exotic OptionsùAmerican and European Upper Barrier Options | |
| Exotic OptionsùAmerican and European Double Barrier Options and Exotic Barriers | |
| Exotic OptionsùBasic American, European, and Bermudan Call Options | |
| Exotic OptionsùBasic American, European, and Bermudan Put Options | |
| Real OptionsùAmerican, European, Bermudan, and Customized Abandonment Options | |
| Real OptionsùAmerican, European, Bermudan, and Customized Contraction Options | |
| Real OptionsùAmerican, European, Bermudan, and Customized Expansion Options | |
| Real OptionsùContraction, Expansion, and Abandonment Options | |
| Real OptionsùDual Variable Rainbow Option Using Pentanomial Lattices | |
| Real OptionsùExotic Chooser Options | |
| Real OptionsùExotic Complex Floating American and European Chooser | |
| Real OptionsùJump-Diffusion Option Using Quadranomial Lattices | |
| Real OptionsùMean-Reverting Calls and Puts Using Trinomial Lattices | |
| Real OptionsùMultiple Assets Competing Options | |
| Real OptionsùPath-Dependent, Path-Independent, Mutually Exclusive, NonûMutually Exclusive, and Complex Combinatorial Nested Options | |
| Real OptionsùSequential Compound Options | |
| Real OptionsùSimultaneous Compound Options | |
| Real OptionsùSimple Calls and Puts Using Trinomial Lattices | |
| Real Options Strategic Case StudiesùFraming the Options | |
| Real Options Strategic CasesùHigh-Tech Manufacturing: Build or Buy Decision with Real Options | |
| Real Options Strategic CasesùOil and Gas: Farm-Outs, Options to Defer, and Value of Information | |
| Real Options Strategic CasesùPharmaceutical Development: Value of Perfect Information and Optimal Trigger Values | |
| Real Options Strategic CasesùOption to Switch Inputs | |
| ValuationùConvertible Warrants with a Vesting Period and Put Protection | |
| List of Models | |
| List of Functions | |
| Understanding and Choosing the Right Probability Distributions | |
| Financial Statement Analysis | |
| Exotic Options Formulae | |
| Measures of Risk | |
| Mathematical Structures of Stochastic Processes | |
| Glossary of Input Variables and Parameters in the Modeling Toolkit Software | |
| About the DVD | |
| About the Author | |
| Index | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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