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Risk256.com
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| Quantitative Financial Risk Management |
Simple Excel Tricks
If you've worked in quantitative finance for any length of time, you are
most likely an Excel expert. For those new to the field, here are a few
tricks to get you started.
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Giving variables meaningful names in Excel.
Using named ranges to give variables meaningful names in Excel can make complicated equations more readable.
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Easy covariance or correlation matrix in Excel.
Using OFFSET to create a covariance or correlation matrix.
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Sum or average based on multiple criteria.
Have you ever needed to calculate an average by year and month or by region and asset class? Using SUMIF and
COUNTIF and combing multiple criteria into a single cell makes this easy.
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Simple Monte Carlo using a Data Table.
Running Monte Carlo simulations in Excel is easy. No VBA or add-ins required.
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Working with dates in Excel.
We often have to work with financial data organized by date. The data may have missing or duplicate data points. Fortunately, Excel has a number of built in functions that we can use to work with dates.
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QuantRiskLib Examples
These spreadsheets parallel sample applications based on QuantRiskLib, a C# risk statistics library.
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QuantRiskLibSampleApp. Calculates the mean, standard deviation, skewness, kurtosis, and beta for several securities.
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Black-Scholes-Merton European options. Calculates the price and Greeks for a European option with and without dividends.
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Bjerksund and Stensland approximation. Calculates the Bjerksund and Stensland price approximation for an American call option.
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Mathematics and Statistics for Financial Risk Management Examples
Wiley's companion website for Mathematics and Statistics for Financial Risk Management includes interactive Excel spreadsheet examples and templates.
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