Article2007

Financial Modeling with Crystal Ball and Excel

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Capital Investment and Risk Analysis Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

Preface. 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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References

1973The Pricing of Options and Corporate Liabilities 1994Investment Under Uncertainty.1983Simulation Modeling and Analysis.2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code 2016“Options, Futures, and Other Derivatives”1987The Pricing of Options on Assets with Stochastic Volatilities 2003Monte Carlo Methods in Financial Engineering 2016Simulation and the Monte Carlo Method

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