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  Excel VBA Models Combo Set    

Excel VBA Models Combo Set

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What is this Product?

37 Excel VBA prorgrams in finance and statistics (Package Set 1, 2, and 3) with source codes.

Each of the 37 programs is self contained and ready to run and users can learn from the source codes.

  • Finance and Statistics Models Set (Set 1) - 13 Programs*
    * Two programs in this set also available in Set 3.

Finance and Statistics Models Set (Set 1) contains different topics in finance and statistics from simple model such as computing standard deviation and mean to more advanced models such as Monte Carlo simulation, multivariate standard normail distribution, multiple regression, and option pricing models.

Standard Deviation and Mean | Lotto Number Generator | Playing Card Probability | Normal Distribution Random Number Generator | Monte Carlo Integration | Black-Scholes Option Pricing Model - European Call and Put | Binomial Option Pricing Model | Portfolio Optimization| Multiple Regression | Bootstrap - A Non-Parametric Approach | Multivariate Standard Normal Probability Distribution | Monte Carlo Simulation | Option Greeks Based on Black-Scholes Option Pricing Model

  • Random Numbers Generator and Statistics Set (Set 2) - 12 Programs

Random Numbers Generator and Statistics Set (Set 2) provides 12 random numbers generators that allow you to generate histogram from the probability distribution given the parameters you have specified. You also have the option to output random numbers from the distribution on the spreadsheet.

Log Normal Distribution | Log Pearson Type III Distribution | Normal Distribution
Chi-Square Distribution | F-Distribution | Student-T Distribution | Multivariate Standard Normal Distribution | Gamma Distribution | Beta Distribution | Hypergeometric Distribution | Triangular Distribution | Binomial Distribution

  • Package Set 3 - Numerical Searching Methods and Option Pricing Models - 14 programs *

Numerical Searching Methods and Option Pricing Set (Set 3) contains topics in applying different numerical searching methods to solve mathematical equations and implied volatility from option pricing models. It also includes vanilla option pricing models on future, currency (foreign exchange), stock index, and stock that pays a known dividend.

Numerical Searching Method - Newton-Ralphson | Numerical Searching Method - Secant Method | Implied Standard Deviation For Black/Scholes Call - Newton Approach | Implied Standard Deviation For Black/Scholes Call - Secant Approach | Implied Standard Deviation For Black/Scholes Call - Bisection Approach | Implied Standard Deviation For Black/Scholes Put - Newton Approach | Implied Standard Deviation For Black/Scholes Put - Secant Approach | Implied Standard Deviation For Black/Scholes Put - Bisection Approach
Black-Scholes Option Pricing Model - European Call and Put | Option Greeks Based on Black-Scholes Option Pricing Model | European Option Model on Asset with Known Cash Payouts |
European Option Model on Asset with Continuous Cash Payouts (Index Option) | European Option Model on Currency| European Option Model on Futures

  • Program: Standard Deviation and Mean

The objective is to compute the mean and the standard deviation from an array. In this example, the array is from A1 to A10 of sheet1 of an opened Excel workbook. This program has two function procedures and one sub procedure. The sub procedure reads in the numbers from the array (A1..A10), calls up the function procedures and returns the mean and standard deviation value.

  • Program: Lotto Number Generator

This program involves sampling without replacement. The sub-procedure, DoubleSort( ), sorts the numbers of one array based on the numbers of another array. The sub-procedure, Resample( ), creates numbers from 1 to 54 for array two (Hold2) and 54 random numbers for array one (Hold), and calls in the sub-procedure, DoubleSort( ). When executed,the program will return 5 sets of 6 lotto numbers in column B through F starting from row 13 of the worksheet.

  • Program: Playing Card Probability

This example intends to answer the following question - what is the probability of getting 3 cards with red hearts and two other cards when 5 cards are drawn from a deck? ...... note that the probability of this particular scenario can be derived using the hypergeometric distribution which is shown below.

  • Program: Normal Distribution Random Number Generator

This example shows how to create random numbers from a normal distribution given the standard deviation and the mean, and then computes the confidence interval given the level of significance, alpha. User can type in the alpha level, number of iterations, mean and standard deviation, then execute the Macro command to obtain the output. This program also generates a 20 class histogram.

  • Program: Monte Carlo Integration

To find the area under a curve, one can use integral calculus. If the curve has no close form, such as the normal curve, then the area can not be derived analytically. However, with today's computer technology, one can use Monte Carlo Integration to achieve such task. The area under a distribution is also known as probability. In this example, we want to compute the area under standard normal probability distribution from 0 to z.

  • Program: Black-Scholes Option Pricing Model - European Call

In this example, we derived call and put option price based on the Black-Scholes model. The function procedures are used. The first function, SNorm(z), computes the probability from negative infinity to z under standard normal curve. This function provides results similar to those provided by NORMSDIST( ) on Excel. The second function and the third function compute call and put prices, respectively.

  • Program: Binomial Option Pricing Model

In this example, we derived call and put option price using the binomial model, also known as the Cox-Ross-Rubinstein option model. Note that binomial distribution will become normal when the number of steps (n) becomes large. Hence, when n increases, both of the call and put option prices estimated from the binomial model come close to the prices estimated from the Black-Scholes model.

  • Program: Portfolio Optimization

The objective of this project is to learn how the Nobel Prize winning, Optimal Portfolio Theory (by Harry Markowitz), works in practice. The for the stock portfolio is plotted. The stock portfolio possibilities space is derived by assigning different weights for each stock using a random number generator. To let the computer select the optimal portfolio, the efficient frontierSharpe Ratio is used. In this case, the portfolio corresponding to the largest Sharpe Ratio is the optimal portfolio.

  • Program: Multiple Regression

This example demostrates how to run multiple regression using matrix algebra by utilizing the Excel functions in a VBA program. The key Excel functions that are needed for matrix algebra in this example are, MInverse( ) and MMult( ), which perform matrix inversion and matrix multiplication, respectively. Matrix transposition is also used in this program.

  • Program: Bootstrap - A Non-Parametric Approach

Bootstrap is a derivation of Monte Carlo technique introduced by Efron in 1979. It uses the resampling with replacement method (unlike the resampling with no replacement method that we used in the Lotto Number Generator example). It is a convenient tool to extract estimates (such as standard deviation and confident interval) from a non-parametric data set (a data set with no underling distribution is assumed) or estimates that do not have a closed form (cannot be expressed in an equation).

  • Program: Multivariate Standard Normal Probability Distribution

This example is a more advanced version of the Monte Carlo Integration example given earlier. In addition to the material taken from the example mentioned above, this program also utilized a numerical procedure (specifically, Jocobi search method, for derivation of the Eigenvectors and Eigenvalues) and matrix algebra. The procedure for generating random numbers from a multivariate distribution is described in the 4 steps of the example shown later. This program computes probability from a multivariate standard normal probability distribution.

  • Program: Monte Carlo Simulation

What is a Monte Carlo Simulation? Well, think about it as a computation process that utilized random numbers to derive outcome. So instead of having fixed inputs, probability distributions are assigned to some or all of the inputs. This will generate a probability distribution for the output after the simulation is ran.
Here is an example. A firm that sells product X under a pure/perfect competition market wants to know the probability distribution for the profit of this product and the probability that the firm will loss money when marketing it.

  • Program: Option Greeks Based on Black-Scholes Option Pricing Model

This program contains option sensitivities (delta, gamma, vega, theta, and rho) formulas and source code. Option sensitivities are also know as the Greeks. They measures how sensitive the option price is toward changes in its parameters. All Greeks are available in user-defined VBA functions with mathematical formulas.


The Excel VBA models are ready to run. Just click the start button and see the simulation runs before your eyes.

An introduction on the model plus explaination on the key points on how VBA code is applied.

Formulas, when applied, are provided to help the users gain a better understanding of the models.

Many customized (user-defined) functions available.

Unprotected open source code. Learn from the code - the best way to learn.

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System Requirements
  • Microsoft Excel

US$59.95 Excel VBA Models Combo Set

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