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Www Refinanceloanshomeequity Tag Securities Refinance Loans Home Equity 财务金融建模—图表(39xls) －元妙企业管理网

Www Refinanceloanshomeequity Tag Securities Refinance Loans Home Equity

minal payoff * payoff of "up" of "down" price * steps of paths # paths Option value THREE DATE BINOMIAL OPTION PRICING FOR AMERICAN CALL/PUT American put option =MAX(MAX(X-S*(1+u),0),qu*put_payoffuu+qd*put_payoffud) =MAX(MAX(X-S*(1+d),0),qu*put_payoffud+qd*put_payoffdd) =MAX(MAX(X-S,0),qu*put_valueu+qd*…………
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Page 150 (中文) Page 150 Page 149 (中文) Page 149 Page 148 Page 147(中文) Page 146-147 (中文) Page 146-147 Page 144,(中文) Page 144, Page 143, (中文) Page 143, AMR BS GE HR MO UK SP500 Mean Beta Intercept Slope R-squared SUMMARY OUTPUT Multiple R R Square Adjusted R Square df SS MS Coefficients t Stat X Variable 1 Regressing the means on the betas: F Significance F P-value Lower 95% Upper 95% =COVAR(B4:B13,$H$4:$H$13)/VARP($H$4:$H$13) =SLOPE(B4:B13,$H$4:$H$13) <-- =INTERCEPT(B15:G15,B16:G16) <-- =SLOPE(B15:G15,B16:G16) <-- =RSQ(B15:G15,B16:G16) THE SECURITY MARKET LINE--A SIMPLE EXAMPLE Variance-covariance matrix Means Minus Constant Calculating two efficient portfolios z x y Variance Covariance <-- =MMULT(TRANSPOSE(E17:E22),J6:J11) <-- =MMULT(MMULT(TRANSPOSE(E17:E22),C6:H11),E17:E22) <-- =SQRT(E25) <-- =MMULT(MMULT(TRANSPOSE(E17:E22),C6:H11),K17:K22) <-- =C19/SUM($C$17:$C$22) Sigma Data for SP500 returns <-- =AVERAGE(P4:P13) <-- =STDEVP(P4:P13) Calculation for a single portfolio Proportion x Proportion y <-- =D30*D24+D31*K24 <-- =D30^2*D25+D31^2*K25+2*D30*D31*D27 <-- =SQRT(D34) Portfolio proportion mean Step Cell D39 is the change in the portfolio proportion in the data table to the right. <-…………
Page 123-124 (中文) Page 123-124 Page 123 (中文) Page 123 Page 122， (中文) Page 122， Page 122 (中文) Page 122 Page 120-121 (中文) Page 120-121 Page 118， (中文) Page 118， junk junk varcovar RETURN DATA FOR VARIANCE-COVARIANCE CALCULATIONS AMR BS GE HR MO UK SP500 AMR American Airlines BS Bethlehem Steel GE General Electric HR International Harvester MO Philip Morris UK Union Carbide Excess return matrix Transpose of excess return matrix Beta Difference between two var-cov matrices: Product of transpose[excess return] times [excess return] / 10 Variance-covariance matrix based on return data Return data for 4 stocks (in columns) The variance-covariance matrix Mean CALCULATING THE VARIANCE-COVARIANCE MATRIX FROM EXCESS RETURNS A VBA FUNCTION FOR THE VARIANCE-COVARIANCE MATRIX My thanks go to Amir Kirsh for this suggestion. USING THE OFFSET FUNCTION TO COMPUTE THE VAR-COV MATRIX SINGLE-INDEX MODEL =COVAR(B4:B13,$H$4:$H$13)/VARP($H$4:$H$13) =SLOPE(B4:B13,$H$4:$H$13) Var(SP500) COMPUTING THE SINGLE-INDEX VARIANCE-COVARIANCE MATRIX <-- =AVERAGE(G4:G13) <-- =G12-$G$14 <-- =G13-$G$14 <-- =C$14*$B15*$C$11 My thanks go to Shay Safrir for this suggestion. 方差和协方差计算的收益数据 美国航空公司 伯利恒钢铁厂 通用电气公司 国际收割机公司 菲利普莫里斯公…………
Page 117 (中文) Page 117 Page 116 (中文) Page 116 Page 115 (中文) Page 115 Page 112, (中文) Page 112, Page 109-110 (中文) Page 109-110 Page 108 Page 107 (中文) Page 107 Page 106, graph (中文) Page 106, graph Page 104-105 (中文) Page 104-105 Stock prices Month Stock A Stock B stock A stock B Return Return-mean Product Covariance Correlation CALCULATING THE MEAN AND SIGMA OF A PORTFOLIO R A t RBt Rpt A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance Mean returns Portfolio 1 Mean Variance Portfolio 2 Transposes Calculating returns of combinations of Portfolio 1 and Portfolio 2 Proportion of Portfolio 1 Mean return Variance of return Stand. dev. of return Table of returns (uses this example and Data|Table) Proportion Stand. dev. <--the content of these cells is given below: Monthly mean Monthly variance Monthly stand. dev. Annual mean Annual variance Annual stand. dev. CALCULATING THE RETURNS Proportion of A St. dev. Sigma stock C stock D Price COVARIANCE AND VARIANCE CALCULATION <-- =MMULT(C10:F10,$G$4:$G$7) <-- =MMULT(C10:F10,MMULT(B4:E7,D21:D24)) <-- =MMULT(C9:F9,MMULT(B4:E7,D21:D24)) <-- =C16/SQRT(C14*F14) <-- =B27*C13+(1-B27)*F13 <-- =B27^2*C14+(1-B27)^2*F14+2*B27*(1-B27)*C16 <-- =SQRT(B29) <--
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    财务金融建模—图表(39xls)

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