Financial Simulation Modeling in Excel

CHAPTER 8

Advanced Topics and Further Reading

In this book, we have covered the basics of financial simulation across a number of asset classes. Instead of focusing on a single asset class, we have touched on equities, corporate and government debt, derivatives, interest rates, and even illiquid products such as structured credits and private equity. We have implemented reduced form and structural models, simulated prices and rates using Hull-White and Monte Carlo simulations, and introduced basic stochastic concepts such as Brownian motion and log-normal distributions.

However, all of this serves as only an introduction to the world of financial simulation and practical methods for modeling. Journals devoted to quantitative finance and simulation go into much further depth and cover topics similar to what is in this text, only in much greater detail. The reader is encouraged to think of this text as the starting point to a much wider world of simulation and quantitative analysis.

In this chapter, we will briefly cover some more advanced topics and considerations that are built into more advanced models, as well as topics that are commonly discussed in the quantitative finance community. These topics range from data mining to programming to mathematical modeling questions.