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Financial Models Using

Simulation and
Optimization
Wayne L. Winston

Kelley School of Business


Indiana University

Table of Contents
Chapter 1: Sensitivity Analysis with Data Tables

Introduction to Solver and Goal Seek............................................................... 1


Using Goal Seek to nd the Indierence Point ........................................... 5
Two Way Data Tables and an Introduction to Solver .................................... 6
Using Solver to Maximize Prot ....................................................................... 9
Two-way Data Tables and Decision Making Under Uncertainty .............. 11
Chapter 2: Simple Linear Regression Estimating Fixed and
Variable Cost

15

Fitting a Straight Line to Data ......................................................................... 18


Regression with the Analysis Toolpak: Hypothesis Testing in Regression26
Testing the Signicance of the Linear Relationship ..................................... 28
Chapter 3: Fitting Exponential Growth Estimating the Growth
Rate of Microsoft

29

Accuracy of Forecasts ....................................................................................... 36


Chapter 4: The Power Model Fitting the Learning Curve

37

Which Curve Fits Best?..................................................................................... 42


Other Trend-line Functions ............................................................................. 43
Chapter 5: Fitting an S-Shaped Curve

45

The Pearl Curve ................................................................................................. 46


The Gompertz Curve ........................................................................................ 47
Chapter 6: Using Multiple Regression to Forecast Auto Sales

53

Interpreting Regression Output ...................................................................... 57


Validation of the Regression ............................................................................ 58

Table of Contents

iii

Chapter7:UsingPolynomialRegressiontoResolveNonlinearities

59

Chapter8:TheMultiplicativeModelEstimatingDemand

63

Chapter9:UsingthePivotTableReportandRegressionto
AnalyzeMarketEfficiency

67

UsingthePivotTableReport...........................................................................67
UsingRegressiontoLookforMarketInefficiencies.....................................71
UsingaNeuralNetworktoLookforPatterns..............................................74
TheJanuaryEffect.............................................................................................75
Chapter10:TestingInvestmentStrategies

77

Chapter11:TheBassModelforSalesofaProduct

81

Chapter12:FittingtheYieldCurve

85

FittingtheYieldCurve.....................................................................................86
GeneratingImpliedForwardRates................................................................88
Chapter13:DeterminingMonthlyLoanPayments

91

UsingtheSolvertoFindtheMonthlyPayment............................................93
Chapter14:FundingaPensionLiability

95

Chapter15:MultiperiodCapitalBudgeting

101

Chapter16:PortfolioOptimizationwithSolver

107

FindingtheMeanandVarianceofaPortfolio............................................107
FindingtheEfficientFrontier........................................................................112
TheScenarioApproachtoPortfolioOptimization.....................................113
Chapter17:AnIntroductiontoEvolverTheFixedChargeProblem

117

AnIntroductiontoGeneticAlgorithms.......................................................118
IntroductiontoEvolver..................................................................................120
Chapter18:UsingEvolvertoMaximizetheChanceof
BeatingtheSandPIndex

127

Chapter19:APortfolioApproachtoProjectSelection

131

UsingEvolvertoSelecttheProjects..............................................................134
Chapter20:UsingAHPandSolverforProjectSelection

135

AHPAnalysis..................................................................................................136
iv

SettingUptheSolverModel..........................................................................138
Chapter21:SelectingDriversforanABCCostingSystem

141

UsingSolvertoDetermineanOptimalSetofDrivers...............................143
Chapter22:PricingModelswithSolver

149

TieInsandPricing..........................................................................................152
Chapter23:NonlinearPricing

155

FindingtheOptimalTwopartTariff...........................................................159
Chapter24:PriceBundling

163

Chapter25:DurationandImmunizationAgainstInterestRateRisk

171

PricingBonds...................................................................................................171
QuasiModifiedDurationandInterestRateRisk.......................................174
ImmunizationandInterestRateRisk...........................................................176
DurationMatching..........................................................................................179
Chapter26:FindingArbitrageOpportunities

183

AnExamplewithNoArbitrage....................................................................186
Chapter27:Introductionto@RISKTheNewspersonProblem

189

FindingConfidenceIntervalforExpectedProfit........................................193
NormalDemand..............................................................................................194
Chapter28:SimulatingaNewProductTheHippoExample

199

TornadoGraphsandScenarios.....................................................................205
Chapter29:Using@RISKtoDeterminePlantCapacity

209

Chapter30:UtilityTheoryandSimulation

211

FittingtheUtilityCurve.................................................................................212
SimulatingtheCapacityDecision.................................................................214
FindingtheCertaintyEquivalentoftheOptimalDecision.......................215
Chapter31:SimulatingDevelopmentofaNewDrug

217

InterpretingtheTornadoGraphs..................................................................222
Chapter32:UsingSimulationtoModelanAcquisition

225

ModelingtheCashFlows...............................................................................227

Table of Contents

Chapter33:SimulatingProFormaFinancialStatements

235

EstimationofModelParameters...................................................................238
SettingUptheSpreadsheet............................................................................239
RunningtheSimulation.................................................................................241
Chapter34:TheValueofaCustomer

245

Chapter35:TheRISKGeneralFunction

251

Chapter36:TheRISKCumulativeFunction

255

Chapter37:TheRISKTrigenFunction

259

Chapter38:UsingDatatoObtainInputsforNewProductSimulations 263
TheScenarioApproachtoModelingVolumeUncertainty.......................263
ModelingMarketSharesResponsetoCompetition..................................266
SimulatingMarketShareforaNewProduct..............................................269
ModelingPriceUncertainty...........................................................................271
SimulatingthePriceofaNewProduct........................................................274
ModelingStatisticalRelationshipswithOneIndependentVariable.......275
ModelingRelationshipsInvolvingMorethanOne
IndependentVariable..................................................................................283
SimulatingSalesofaNewProductwiththeBassModel..........................290
Chapter39:ObtainingaDistributionofIRRs

295

Chapter40:TheRiskNeutralApproachtoOptionPricing

299

Chapter41:TheLognormalModelofStockPrices

301

RiskNeutralValuation...................................................................................302
FindingMeanandVarianceofaLognormalRandomVariable...............304
Chapter42:PricingEuropeanPutsandCallsbySimulation

307

UsingSimulationtoPricethePut.................................................................309

vi

Chapter43:PricingExoticOptions

311

Chapter44:PricinganAsYouLikeItOption

315

Chapter45:FindingValueatRisk(VAR)ofaPortfolio

319

Chapter46:FindingConfidenceIntervalsforPercentiles

323

Chapter47:DoingVARandPricingOptionsInvolving
CorrelatedStocks

325

PricingOptionsonCorrelatedStocks..........................................................328
Chapter48:ComputingVARforForwardsandFutures

333

PricingofFuturesContracts..........................................................................334
Chapter49:HedgingwithFutures

339

AnOverviewofHedging...............................................................................339
Chapter50:ForeignExchangeOptionsandHedging
ForeignExchangeRisk

343

Chapter51:ModelingMeanRevertingProcesses

347

SimulatingaMeanRevertingProcess..........................................................348
Chapter52:SimulatingExchangeRiskValuinga
ForeignCurrencySwap

353

WhereistheUncertainty?..............................................................................354
SimulatingtheSwap.......................................................................................357
Chapter53:SimulatingYieldCurveMovementsBasedon
HistoricalData

361

Runningan@RISKSimulationofFutureYieldCurves.............................366
FixedRateorARM?........................................................................................369
ValuingInterestRateDerivatives.................................................................373
Chapter54:DeltaHedging

377

Chapter55:UsingtheRiskNeutralApproachtoValueRealOptions

381

AnAbandonmentOption..............................................................................384
AnOptiontoPostpone(BasedonTrigeorgis(1995)).................................386
ValuingtheOptiontoExpand......................................................................388
ValuingtheOptiontoContract.....................................................................390
APioneerOption.........................................................................................392
Table of Contents

vii

Chapter56:PricinganAmericanOptionwithBinomialTrees

395

TheStockPriceTree........................................................................................396
ComputingtheEarlyExerciseBoundary.....................................................401
SimulatingtheActualCashFlowsfromanAmericanOption.................403
Chapter57:UsingRealOptionstoValueaLeaseonaGoldMine

405

Chapter58:ValuinganOptiontoPurchaseaCompany

409

WhenDoWeBuy?..........................................................................................413
Chapter59:M2ARiskAdjustedMeasureofPortfolioReturn

415

SpreadsheetImplementationofM ..............................................................416
2

Chapter60:MaximizingLongTermGrowthTheKellyCriteria

419

SimulatingLongTermGrowth.....................................................................422
Chapter61:@RISKandMacrosTheBirthdayProblemandKeno

425

HowtoPlayKeno...........................................................................................430
Chapter62:SimulatingtheNCAATournament

433

Chapter63:UsingtheSolverwith@RISK

437

SettinguptheSolverModel...........................................................................439
SectionII@RISKFunctions

445

RISKDiscreteFunction....................................................................................445
RISKSimTableFunction..................................................................................446
RISKDUniformFunction................................................................................446
BinomialDistribution.....................................................................................447
TheNormalRandomVariable......................................................................448
RISKTriang.......................................................................................................449
RISKTrigenFunction......................................................................................450
RISKUniformFunction...................................................................................451
TheRISKGeneralFunction............................................................................452
ModelingCorrelations....................................................................................454
RISKTruncateFunction..................................................................................455
RISKPertFunction...........................................................................................456
Index

viii

457

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