Financial Modeling with Crystal Ball and ExcelISBN: 978-0-471-77972-8
Paperback
290 pages
April 2007
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Acknowledgments.
About the Author.
Chapter 1: Introduction.
Financial Modeling.
Risk Analysis.
Monte Carlo Simulation.
Risk Management.
Benefits and Limitations of Using Crystal Ball.
Chapter 2: Analyzing Crystal Ball Forecasts.
Simulating A 50–50 Portfolio.
Varying the Allocations.
Presenting the Results.
Chapter 3: Building a Crystal Ball Model.
Simulation Modeling Process.
Defining Crystal Ball Assumptions.
Running Crystal Ball.
Sources of Error.
Controlling Model Error.
Chapter 4: Selecting Crystal Ball Assumptions.
Crystal Ball’s Basic Distributions.
Using Historical Data to Choose Distributions.
Specifying Correlations.
Chapter 5: Using Decision Variables.
Defining Decision Variables.
Decision Table with One Decision Variable.
Decision Table with Two Decision Variables.
Using OptQuest.
Chapter 6: Selecting Run Preferences.
Trials.
Sampling.
Speed.
Options.
Statistics.
Chapter 7: Net Present Value and Internal Rate of Return.
Deterministic NPV and IRR.
Simulating NPV and IRR.
Capital Budgeting.
Customer Net Present Value.
Chapter 8: Modeling Financial Statements.
Deterministic Model.
Tornado Chart and Sensitivity Analysis.
Crystal Ball Sensitivity Chart.
Conclusion.
Chapter 9: Portfolio Models.
Single-Period Crystal Ball Model.
Single-Period Analytical Solution.
Multiperiod Crystal Ball Model.
Chapter 10: Value at Risk.
VaR.
Shortcomings of VaR.
CVaR.
Chapter 11: Simulating Financial Time Series.
White Noise.
Random Walk.
Autocorrelation.
Additive Random Walk with Drift.
Multiplicative Random Walk Model.
Geometric Brownian Motion Model.
Mean-Reverting Model.
Chapter 12: Financial Options.
Types of Options.
Risk-Neutral Pricing and the Black-Scholes Model.
Portfolio Insurance.
American Option Pricing.
Exotic Option Pricing.
Bull Spread.
Principal-Protected Instrument.
Chapter 13: Real Options.
Financial Options and Real Options.
Applications of ROA.
Black-Scholes Real Options Insights.
ROV Tool.
Summary.
Appendix A: Crystal Ball’s Probability Distributions.
Appendix B: Generating Assumption Values.
Appendix C: Variance Reduction Techniques.
Appendix D: About the Download.
Glossary.
References.
Index.
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