This is an in-depth guide to advanced analytical models. More practitioners are turning to financial modeling to quantitatively estimate the value of a security. "Advanced Analytical Models" offers a comprehensive set of 250 models that cover a wide range of industries and applications, including banking, manufacturing, military, pharmaceutical, financial services, oil and gas, operations research, risk simulation, portfolio optimization, and forecasting. The book includes a companion DVD that discusses all the models covered in the book and contains numerous informative case studies that will help readers apply the information they've learned in real-world situations.
Preface.Software Applications.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 Asset.
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