| Description |
1 online resource (879 p.) |
| Contents |
Intro -- Title Page -- Copyright -- Dedication -- Table of Contents -- Preface and Acknowledgments -- Before All Else -- 0.1. Data Tables -- 0.2. What Is Getformula? -- 0.3. How to Put Getformula into Your Excel Notebook -- 0.4. Saving the Excel Workbook: Windows -- 0.5. Saving the Excel Workbook: Mac -- 0.6. Do You Have to Put Getformula into Each Excel Workbook? -- 0.7. Using Formulatext() Instead of Getformula -- 0.8. A Shortcut to Use Getformula and Formulatext -- 0.9. Recording Getformula: The Windows Case -- 0.10. Recording Getformula: The Mac Case -- 0.11. Using R -- I. Corporate Finance -- 1. Basic Financial Analysis -- 1.1. Overview -- 1.2. Present Value and Net Present Value -- 1.3. The Internal Rate of Return (IRR) and Loan Tables -- 1.4. Multiple Internal Rates of Return -- 1.5. Flat Payment Schedules -- 1.6. Future Values and Applications -- 1.7. A Pension Problem-Complicating the Future Value Problem -- 1.8. Continuous Compounding -- 1.9. Discounting Using Dated Cash Flows -- Exercises -- 2. Corporate Valuation Overview -- 2.1. Overview -- 2.2. Three Methods to Compute Enterprise Value (EV) -- 2.3. Using Accounting Book Values to Value a Company: The Firm's Accounting Enterprise Value -- 2.4. The Efficient Markets Approach to Corporate Valuation -- 2.5. Enterprise Value as the Present Value of the Free Cash Flows: DCF "Top Down" Valuation -- 2.6. Free Cash Flows Based on Consolidated Statement of Cash Flows -- 2.7. Free Cash Flows Based on Pro Forma Financial Statements -- 2.8. Summary -- Exercises -- 3. Calculating the Weighted Average Cost of Capital (WACC) -- 3.1. Overview -- 3.2. Computing the Value of the Firm's Equity, E -- 3.3. Computing the Value of the Firm's Debt, D -- 3.4. Computing the Firm's Tax Rate, TC -- 3.5. Computing the Firm's Cost of Debt, rD -- 3.6. Two Approaches to Computing the Firm's Cost of Equity, rE |
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3.7. Three Approaches to Computing the Expected Return on the Market, E(rM) -- 3.8. What's the Risk-Free Rate rf in the CAPM? -- 3.9. Computing the WACC -- 3.10. When Don't the Models Work? -- 3.11. Summary -- Exercises -- 4. Pro Forma Analysis and Valuation Based on the Discounted Cash Flow Approach -- 4.1. Overview -- 4.2. Setting the Stage-Discounting the Free Cash Flow (FCF) -- 4.3. Simplified Approach Based on Consolidated Statement of Cash Flows -- 4.4. Pro Forma Financial Statement Modeling -- 4.5. Using the FCF to Value the Firm and Its Equity -- 4.6. Setting the Debt to Be the Absorbing Item and Incorporating Target Debt/Equity Ratio into the Pro Forma -- 4.7. Calculating the Return on Invested Capital -- 4.8. Project Finance: Debt Repayment Schedules -- 4.9. Calculating the Return on Equity -- 4.10. Tax Loss Carryforwards -- 4.11. Conclusion -- Exercises -- 5. Building a Pro Forma Model: The Case of Merck -- 5.1. Overview -- 5.2. Merck's Financial Statements, 2015-2018 -- 5.3. Analyzing the Financial Statements -- 5.4. A Model for Merck -- 5.5. Using the Model to Value Merck -- 5.6. Valuation Model for Merck Using Multiples -- 5.7. Summary -- 6. Financial Analysis of Leasing -- 6.1. Overview -- 6.2. A Simple but Misleading Example -- 6.3. Leasing and Firm Financing-the Equivalent-Loan Method -- 6.4. The Lessor's Problem: Calculating the Highest Acceptable Lease Rental -- 6.5. Asset Residual Value and Other Considerations -- 6.6. Mini-Case: When Is Leasing Profitable for Both the Lessor and the Lessee? -- 6.7. Leveraged Leasing -- 6.8. A Leveraged Lease Example -- 6.9. Summary -- Exercises -- II. Bonds -- 7. Bond's Duration -- 7.1. Overview -- 7.2. Two Examples -- 7.3. What Does Duration Mean? -- 7.4. Duration Patterns -- 7.5. The Duration of a Bond with Uneven Payments -- 7.6. Convexity of a Bond -- 7.7. Immunization Strategies |
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7.8. Summary -- Exercises -- 8. Modeling the Term Structure -- 8.1. Overview -- 8.2. The Term Structure of Interest Rates -- 8.3. Bond Pricing Using the Equivalent Single Bond Approach -- 8.4. Pricing with Several Bonds at the Same Maturity -- 8.5. The Nelson-Siegel Approach of Fitting a Functional Form to the Term Structure -- 8.6. The Properties of the Nelson-Siegel Term Structure -- 8.7. Term Structure for Treasury Notes -- 8.8. Summary -- Appendix: VBA Functions Used in This Chapter -- 9. Calculating Default-Adjusted Expected Bond Returns -- 9.1. Overview -- 9.2. Calculating the Expected Return in a One-Period Framework -- 9.3. Calculating the Bond Expected Return in a Multi-period Framework -- 9.4. A Numerical Example -- 9.5. Experimenting with the Example -- 9.6. Computing the Bond Expected Return for an Actual Bond -- 9.7. Semiannual Transition Matrices -- 9.8. Computing Bond Beta -- 9.9. Summary -- Exercises -- III. Portfolio Theory -- 10. Portfolio Models-Introduction -- 10.1. Overview -- 10.2. Computing Descriptive Statistics for Stocks -- 10.3. Calculating Portfolio Means and Variances -- 10.4. Portfolio Mean and Variance-Case of N Assets -- 10.5. Envelope Portfolios -- 10.6. Summary -- Exercises -- Appendix 10.1: Continuously Compounded versus Geometric Returns -- Appendix 10.2: Adjusting for Dividends -- 11. Efficient Portfolios and the Efficient Frontier -- 11.1. Overview -- 11.2. Some Preliminary Definitions and Notation -- 11.3. Five Propositions on Efficient Portfolios and the CAPM -- 11.4. Calculating the Efficient Frontier: An Example -- 11.5. Three Notes on the Optimization Procedure -- 11.6. Finding the Market Portfolio: The Capital Market Line (CML) -- 11.7. Computing the Global Minimum Variance Portfolio (GMVP) -- 11.8. Testing the SML-Implementing Propositions 3-5 -- 11.9. Efficient Portfolios without Short Sales |
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11.10. Summary -- Exercises -- Mathematical Appendix -- 12. Calculating the Variance-Covariance Matrix -- 12.1. Overview -- 12.2. Computing the Sample Variance-Covariance Matrix -- 12.3. The Correlation Matrix -- 12.4. Four Alternatives to the Sample Variance-Covariance Matrix -- 12.5. Alternatives to the Sample Variance-Covariance: The Single-Index Model -- 12.6. Alternatives to the Sample Variance-Covariance: Constant Correlation -- 12.7. Alternatives to the Sample Variance-Covariance: Shrinkage Methods -- 12.8. Using Option Information to Compute the Variance Matrix -- 12.9. Which Method to Compute the Variance-Covariance Matrix? -- 12.10. Summing Up -- Exercises -- 13. Estimating Betas and the Security Market Line -- 13.1. Overview -- 13.2. Testing the SML -- 13.3. Did We Learn Something? -- 13.4. The Non-efficiency of the "Market Portfolio" -- 13.5. So What's the Real Market Portfolio? How Can We Test the CAPM? -- 13.6. Conclusion: Does the CAPM Have Any Uses? -- Exercises -- 14. Event Studies -- 14.1. Overview -- 14.2. Outline of an Event Study -- 14.3. An Initial Event Study: Procter & -- Gamble Buys Gillette -- 14.4. A Fuller Event Study: Impact of Earnings Announcements on Stock Prices -- 14.5. Using a Two-Factor Model of Returns for an Event Study -- 14.6. Using Excel's Offset Function to Locate a Regression in a Data Set -- 14.7. Conclusion -- 15. The Black-Litterman Approach to Portfolio Optimization -- 15.1. Overview -- 15.2. A Naive Problem -- 15.3. Black and Litterman's Solution to the Optimization Problem -- 15.4. BL Step 1: What Does the Market Think? -- 15.5. BL Step 2: Introducing Opinions-What Does Joanna Think? -- 15.6. Using BL for International Asset Allocation -- 15.7. Summary -- Exercises -- IV. Options -- 16. Introduction to Options -- 16.1. Overview -- 16.2. Basic Option Definitions and Terminology -- 16.3. Some Examples |
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16.4. Option Payoff and Profit Patterns -- 16.5. Option Strategies: Payoffs from Portfolios of Options and Stocks -- 16.6. Option Arbitrage Propositions -- 16.7. Summary -- Exercises -- 17. The Binomial Option Pricing Model -- 17.1. Overview -- 17.2. Two-Date Binomial Pricing -- 17.3. The State Prices -- 17.4. The Multi-period Binomial Model -- 17.5. Pricing American Options Using the Binomial Pricing Model -- 17.6. Programming the Binomial Option Pricing Model -- 17.7. Convergence of Binomial Pricing to the Black-Scholes Price -- 17.8. Using the Binomial Model to Price Employee Stock Options -- 17.9. Using the Binomial Model to Price Nonstandard Options: An Example -- 17.10. Summary -- Exercises -- 18. The Black-Scholes Model -- 18.1. Overview -- 18.2. The Black-Scholes Model -- 18.3. Programming the Black-Scholes Option Pricing Model -- 18.4. Calculating the Volatility -- 18.5. Programming a Function to Find the Implied Volatility -- 18.6. Dividend Adjustments to the Black-Scholes -- 18.7. "Bang for the Buck" with Options -- 18.8. The Black Model for Bond Option Valuation -- 18.9. Using the Black-Scholes Model to Price Risky Debt -- 18.10. Using the Black-Scholes Formula to Price Structured Securities -- 18.11. Summary -- Exercises -- 19. Option Greeks -- 19.1. Overview -- 19.2. Defining and Computing the Greeks -- 19.3. Delta Hedging a Call -- 19.4. The Greeks of a Portfolio -- 19.5. Greek-Neutral Portfolio -- 19.6. The Relationship between Delta, Theta, and Gamma -- 19.7. Summary -- Exercises -- Appendix 19.1: VBA for Greeks -- Appendix 19.2: R Code for Greeks -- 20. Real Options -- 20.1. Overview -- 20.2. A Simple Example of the Option to Expand -- 20.3. The Abandonment Option -- 20.4. Valuing the Abandonment Option as a Series of Puts -- 20.5. Valuing a Biotechnology Project -- 20.6. Summary -- Exercises -- V. Monte Carlo Methods |
| Notes |
Description based upon print version of record |
| Subject |
Finance -- Mathematical models.
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Finance -- Mathematical models
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| Reading List |
MAF210 recommended text 2024
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| Form |
Electronic book
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| Author |
Mofkadi, Tal, author.
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| ISBN |
9780262368247 |
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0262368242 |
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