Intro to Quantitative Financial Modeling in Excel
What you'll learn
- Creating financial models in Excel and VBA
- You need Microsoft Excel installed on your PC/laptop
- You need some basic knowledge in Finance (e.g. call and put options)
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.
Who this course is for:
- Those interested in financial modeling
The instructor has taught financial modeling for more than 8 years to corporations and the public. Through the brand FM x FM, he wishes to bring his financial modeling knowledge to a global audience.
He uses a practical approach and believes that the best way of mastering a skill is to have a hands-on approach.
His professional qualifications include:
1) CFA charterholder
2) FRM holder
3) Financial Modeling & Valuation Analyst (FMVA)
4) Advanced Financial Modeler (AFM)