Preface vii
Acknowledgments xi
About the Authors xiii
CHAPTER 1 Introduction 1
CHAPTER 2 Random Numbers, Distributions, and Basic Simulation Setup 13
CHAPTER 3 Correlation 47
CHAPTER 4 Option Pricing 65
CHAPTER 5 Corporate Default Simulation 95
CHAPTER 6 Simulating Pools of Assets 127
CHAPTER 7 Dealing with Data Deficiencies and Other Issues 153
CHAPTER 8 Advanced Topics and Further Reading 169
APPENDIX A Partial Differential Equations 175
APPENDIX B Newton-Raphson Method 183
References 187
Index 189
Preface. Acknowledgments. About the Authors. Chapters 1: Introduction. Chapters 2: Random Numbers, Distributions, and Basic Simulation Set Up. Chapters 3: Correlation. Chapters 4: Option Pricing. Chapters 5: Corporate Default Simulation. Chapters 6: Simulating Pools of Assets. Chapters 7: Dealing with Data Deficiencies and Other Issues. Chapters 8: Advanced Topics and Further Reading. Appendix I: Partial Differential Equation. Appendix II: Newton-Raphson Method. List of Model Builder Files Available on Website. References. Index.
Keith A. Allman is an investment manager at Bamboo Finance, a private equity fund that invests in for-profit, commercially viable companies that provide a good or service that beneficially impacts the lives of low-income individuals. Previously, he was the director of analytics and modeling at Pearl Street Capital Group. Allman also founded Enstruct, which services clients worldwide in capital markets and equity valuation, distressed valuation, and quantitative-based training. He is the author of the Wiley titles Corporate Valuation Modeling, Modeling Structured Finance Cash Flows with Microsoft(R) Excel(R), and Reverse Engineering Deals on Wall Street with Microsoft(R) Excel(R). Allman holds bachelor degrees from UCLA and a master's degree from Columbia University. Josh Laurito, CFA , is a co-founder and Principal of Lumesis, a leading provider of credit analysis software and solutions to the municipal finance market. In addition, he directs corporate modeling for Hexagon Securities, a boutique merchant bank that advises and invests in banks and specialty finance companies. MichaelL Loh currently works for Tech-X Corporation where he is actively engaged in complex data management and high-performance computing using accelerated hardware. Prior to Tech-X, Loh developed and implemented financial models at RangeMark Financial Services
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