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《高級分析模型：超過800款分析模型和300個涵蓋巴塞爾II協定和華爾街金融領域的應用模型》
《Advanced Analytical Models:Over 800 Models and 300 Applications from Basel II Accords to Wall Street and Beyond (英語)》

喬納森·文 (Dr.Johnathan Mun) (作者)

基本信息

? 出版社: Wiley; 第 1st 版 (2008年5月2日)
? 精裝: 1014頁
? 語種： 英文
? ISBN: 047017921X, 9780470179215
? 條形碼: 9780470179215
? 商品尺寸: 19.05 x 4.32 x 26.16 cm
? 商品重量: 1790 g

概況

本書包含了眾多行業和領域應用中的先進模型。該書在數年的學術研究和實務咨詢經驗基礎上完成，并融合了領域專家的專業意見。Modeling Toolkit軟件、Risk Simulator軟件和Real Options SLS軟件均由作者開發，內含超過1000個函數、工具和建模模板。所含DVD提供了以上軟件的試用版。軟件所涵蓋的功能巨大，包括巴塞爾II銀行風險要 求（信用風險、信貸利差、違約風險、在險價值等）、財務分析（奇異期權和估值）、風險分析（隨即預測、基于風險的蒙特卡羅模擬、優化）、實務期權分析（戰 略期權和決策分析）、6-Sigma、質量計劃管理科學與統計應用，以及中間學科如應用統計、制造、運籌學、優化、預測和計量經濟學。
本書主要針對需要學習算法、實例、模型和相關理論用于解決更高級甚至深奧問題的風險分析從業者。本書不僅討論了建模方法、基本概念和例子，所附的DVD內 含樣本建模視頻、案例研究和軟件使用，有助于讀者快速上手。本書涉及的理論和數學模型在理解和商業應用上都具有一定的難度，但是這些理論模型已經被編寫成 為軟件，并介紹了如何借助軟件快速應用高級建模技術。試用版軟件提供了大約300個建模模板和800個函數和工具，幫助讀者理解概念和使用內嵌函數及算 法。另外，讀者還可以運行基于風險的蒙特卡羅模擬、高級預測技術、結構優化、自定義實務期權和金融期權問題。
軟件 Modeling Toolkit中的每一個模型模板都在書中作了詳盡介紹，一些更基礎的風險分析和實物期權理論在作者的其他著作中都有所涉及。

作者簡介

納森·文博士是Real Options Valuation，Inc．（ROV）創始人、主席和首席執行官。
ROV是一家專注于戰略實物期權、金融價值評估、蒙特卡羅仿真、隨機預測、優化和風險分析領域的咨詢、培訓和軟件開發的公司。ROV公司位于加利福尼亞州硅谷的北部。他是Risk Simulator軟件、Modeling Toolkit軟件、Real Options SLS軟件和本書中介紹的雇員股權定價軟件ESOV的開發者，還制作了風險分析培訓的DVD。他還舉辦風險分析和CRA課程的公共培訓課程和研討會。他出版過很多書，包括：Real Options Analysis Course：Business Cases（2003）；Applied Risk Analysis：Moving Beyond Uncertainty（2003）和ValuingEmployee Stock Options（2004）等。他的書和軟件被廣泛地用于世界的多個著名大學，包括德國的Bern學院、韓國的Chung．An大學、Georgetown大學（位于墨西哥的ITESM）、麻省理工大學（MIT）、美國海軍研究生院、紐約大學、瑞典的Stockholm大學、智利的Andes大學、Chile大學、Pennsylvania Wharton學院、英國的York大學和蘇格蘭的Edinburgh大學等。
喬納森·文博士目前是金融學和經濟學教授，他教授的課程包括財務管理、投資學、實物期權分析、經濟學和統計學。作為全職教授，他在世界各地的大學任教或曾任教，從美國加利福尼亞Monterey的海軍研究生院到金門大學（加利福尼亞）和圣瑪麗學院（加利福尼亞）。他擔任很多MBA論文和博士論文的學術委員會成員。他還教授為時一周的風險分析、實物期權分析和針對經理人的公共風險分析課程，課程的參與者在完成了課程之后的考試以后可以獲得CRA證書的認證。

目錄

Part 1: 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.
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. Credit Analysis—Credit Default Swaps and Credit Spread Options.
12. Credit Analysis—Credit Risk Analysis and Effects on Prices.
13. Credit Analysis—External Debt Ratings and Spread.
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 Price of 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, Bermudan, 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 Assets Option.
48. Exotic Options—Extreme Spreads Option.
49. Exotic Options—Foreign Equity–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 and Nonlinear Spline Extrapolation.
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, Brownian Motion, Forecast Distribution at Horizon, Jump-Diffusion, and Mean-Reversion.
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 Risk Management.
98. Industry Applications—Insurance ALM Model.
99. Operational Risk—Queuing Models at Bank Branches.
100. Optimization—Continuous Portfolio Allocation.
101. Optimization—Discrete Project Selection.
102. Optimization—Inventory Optimization.
103. Optimization—Investment Portfolio Allocation.
104. Optimization—Investment Capital Allocation I (Basic Model).
105. Optimization—Investment Capital Allocation II (Advanced Model).
106. Optimization—Military Portfolio and Efficient Frontier.
107. Optimization—Optimal Pricing with Elasticity.
108. Optimization—Optimization of a Harvest Model.
109. Optimization—Optimizing Ordinary Least Squares.
110. Optimization—Stochastic Portfolio Allocation.
111. Options Analysis—Binary Digital Instruments.
112. Options Analysis—Inverse Floater Bond.
113. Options Analysis—Options-Trading Strategies.
114. Options Analysis—Options-Adjusted Spreads Lattice.
115. Options Analysis—Options on Debt.
116. Options Analysis—Five Plain Vanilla Options.
117. Probability of Default—Bond Yields and Spreads (Market Comparable).
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 on Risk.
141. Simulation—Data Fitting.
142. Simulation—Debt Repayment and Amortization.
143. Simulation—Demand Curve and Elasticity Estimation.
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 Tests).
152. Six Sigma—Sample Size Determination and Design of Experiments.
153. Six Sigma—Statistical and Unit Capability Measures, Specification Levels, and Control Charts.
154. Valuation—Buy versus Lease.
155. Valuation—Banking: Classified Loan Borrowing Base.
156. Valuation—Banking: Break-Even Inventory with Seasonal Lending Trial Balance Analysis.
157. Valuation—Banking: Firm in Financial Distress.
158. Valuation—Banking: Pricing Loan Fees Model.
159. Valuation—Valuation Model.
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 (Log Returns, Log Assets, Implied Volatility, Management Assumptions, EWMA, GARCH).
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 and Cubic Spline Curves.
173. Yield Curve—Vasicek Model.

Part 2: 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, Suboptimal, Forfeiture.
180. Exotic Options—American and European Lower Barrier Options.
181. Exotic Options—American and European Upper Barrier Options.
182. Exotic Options—American and European Double Barrier Options and Exotic Barriers.
183. Exotic Options—Basic American, European, and Bermudan Call Options.
184. Exotic Options—Basic American, European, and Bermudan Put Options.
185. Real Options—American, European, Bermudan, and Customized Abandonment Options.
186. Real Options—American, European, Bermudan, and Customized Contraction Options.
187. Real Options—American, European, Bermudan, and Customized Expansion Options.
188. Real Options—Contraction, Expansion, and Abandonment Options.
189. Real Options—Dual Variable Rainbow Option Using Pentanomial Lattices.
190. Real Options—Exotic Chooser Options.
191. Real Options—Exotic Complex Floating American and European Chooser.
192. Real Options—Jump-Diffusion Option Using Quadranomial Lattices.
193. Real Options—Mean-Reverting Calls and Puts Using Trinomial Lattices.
194. Real Options—Multiple Assets Competing Options.
195. Real Options—Path-Dependent, Path-Independent, Mutually Exclusive, Non–Mutually Exclusive, and Complex Combinatorial Nested Options.
196. Real Options—Sequential Compound Options.
197. Real Options—Simultaneous Compound Options.
198. Real Options—Simple Calls and Puts Using Trinomial Lattices.

Part 3: Real Options Strategic Case Studies—Framing the Options.
199. Real Options Strategic Cases—High-Tech Manufacturing: Build or Buy Decision with Real Options.
200. Real Options Strategic Cases—Oil and Gas: Farm-Outs, Options to Defer, and Value of Information.
201. Real Options Strategic Cases—Pharmaceutical Development: Value of Perfect Information and Optimal Trigger Values.
202. Real Options Strategic Cases—Option to Switch Inputs.
203. Valuation—Convertible Warrants with a Vesting Period and Put Protection.
APPENDIX A: List of Models.
APPENDIX B: List of Functions.
APPENDIX C: Understanding and Choosing the Right Probability Distributions.
APPENDIX D: Financial Statement Analysis.
APPENDIX E: Exotic Options Formulae.
APPENDIX F: Measures of Risk.
APPENDIX G: Mathematical Structures of Stochastic Processes.
Glossary of Input Variables and Parameters in the Modeling Toolkit Software.
About the DVD.
About the Author.
Index.