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Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond
Johnathan Mun
PART 1
Modeling Toolkit and Risk Simulator Applications 1
Introduction to the Modeling Toolkit Software 1
Introduction to Risk Simulator 2
Running a Monte Carlo Simulation 6
Using Forecast Charts and Confidence Intervals 16
Correlations and Precision Control 18
Tornado and Sensitivity Tools in Simulation 22
Sensitivity Analysis 29
Distributional Fitting: Single Variable and Multiple Variables 33
Bootstrap Simulation 35
Hypothesis Testing 40
Data Extraction, Saving Simulation Results, and
Generating Reports 42
Regression and Forecasting Diagnostic Tool 42
Statistical Analysis Tool 52
Distributional Analysis Tool 54
Portfolio Optimization 56
Optimization with Discrete Integer Variables 70
Forecasting 72
1. Analytics—Central Limit Theorem 79
2. Analytics—Central Limit Theorem—Winning Lottery
Numbers 84
3. Analytics—Flaw of Averages 88
4. Analytics—Mathematical Integration Approximation Model 93
5. Analytics—Projectile Motion 96
6. Analytics—Regression Diagnostics 100
7. Analytics—Ships in the Night 109
8. Analytics—Statistical Analysis 111
9. Analytics—Weighting of Ratios 123
10. Credit Analysis—Credit Premium 125
11. Credit Analysis—Credit Default Swaps and Credit
Spread Options 127
12. Credit Analysis—Credit Risk Analysis and Effects on Prices 129
13. Credit Analysis—External Debt Ratings and Spread 131
14. Credit Analysis—Internal Credit Risk Rating Model 133
15. Credit Analysis—Profit Cost Analysis of New Credit 135
16. Debt Analysis—Asset-Equity Parity Model 137
17. Debt Analysis—Cox Model on Price and Yield of Risky
Debt with Mean-Reverting Rates 138
18. Debt Analysis—Debt Repayment and Amortization 141
19. Debt Analysis—Debt Sensitivity Models 145
20. Debt Analysis—Merton Price of Risky Debt with
Stochastic Asset and Interest 147
21. Debt Analysis—Vasicek Debt Option Valuation 149
22. Debt Analysis—Vasicek Price and Yield of Risky Debt 151
23. Decision Analysis—Decision Tree Basics 153
24. Decision Analysis—Decision Tree with EVPI, Minimax,
and Bayes’ Theorem 158
25. Decision Analysis—Economic Order Quantity and
Inventory Reorder Point 169
26. Decision Analysis—Economic Order Quantity and
Optimal Manufacturing 170
27. Decision Analysis—Expected Utility Analysis 172
28. Decision Analysis—Inventory Control 174
29. Decision Analysis—Queuing Models 176
30. Exotic Options—Accruals on Basket of Assets 178
31. Exotic Options—American, Bermudan, and European
Options with Sensitivities 180
32. Exotic Options—American Call Option on
Foreign Exchange 182
33. Exotic Options—American Call Options on Index Futures 184
34. Exotic Options—American Call Option with Dividends 186
35. Exotic Options—Asian Lookback Options Using
Arithmetic Averages 188
36. Exotic Options—Asian Lookback Options Using
Geometric Averages 189
37. Exotic Options—Asset or Nothing Options 190
38. Exotic Options—Barrier Options 191
39. Exotic Options—Binary Digital Options 193
40. Exotic Options—Cash or Nothing Options 195
41. Exotic Options—Chooser Option (Simple Chooser) 196
42. Exotic Options—Chooser Option (Complex Chooser) 197
43. Exotic Options—Commodity Options 198
44. Exotic Options—Currency (Foreign Exchange) Options 199
PART 2
Real Options SLS Applications 693
174. Introduction to the SLS Software 695
Single Asset and Single Phased Module 697
Multiple Asset or Multiple Phased SLS Module 704
Multinomial SLS Module 705
SLS Excel Solution Module 709
SLS Excel Functions Module 712
Lattice Maker Module 714
175. Employee Stock Options—Simple American Call Option 715
176. Employee Stock Options—Simple Bermudan Call Option
with Vesting 716
177. Employee Stock Options—Simple European Call Option 719
178. Employee Stock Options—Suboptimal Exercise 720
179. Employee Stock Options—Vesting, Blackout,
Suboptimal, Forfeiture 723
180. Exotic Options—American and European Lower
Barrier Options 725
181. Exotic Options—American and European Upper
Barrier Options 728
182. Exotic Options—American and European Double Barrier
Options and Exotic Barriers 731
183. Exotic Options—Basic American, European, and
Bermudan Call Options 734
184. Exotic Options—Basic American, European, and
Bermudan Put Options 736
185. Real Options—American, European, Bermudan, and
Customized Abandonment Options 739
186. Real Options—American, European, Bermudan, and
Customized Contraction Options 749
187. Real Options—American, European, Bermudan, and
Customized Expansion Options 756
188. Real Options—Contraction, Expansion, and
Abandonment Options 763
189. Real Options—Dual Variable Rainbow Option Using
Pentanomial Lattices 767
190. Real Options—Exotic Chooser Options 770
191. Real Options—Exotic Complex Floating American and
European Chooser 771
192. Real Options—Jump-Diffusion Option Using
Quadranomial Lattices 774
193. Real Options—Mean-Reverting Calls and Puts Using
Trinomial Lattices 777
194. Real Options—Multiple Assets Competing Options 779
195. Real Options—Path-Dependent, Path-Independent,
Mutually Exclusive, Non–Mutually Exclusive, and
Complex Combinatorial Nested Options 781
196. Real Options—Sequential Compound Options 783
197. Real Options—Simultaneous Compound Options 791
198. Real Options—Simple Calls and Puts Using
Trinomial Lattices 795
PART 3
Real Options Strategic Case Studies—Framing the Options 799
199. Real Options Strategic Cases—High-Tech Manufacturing:
Build or Buy Decision with Real Options 801
200. Real Options Strategic Cases—Oil and Gas: Farm-Outs,
Options to Defer, and Value of Information 810
201. Real Options Strategic Cases—Pharmaceutical
Development: Value of Perfect Information and Optimal
Trigger Values 814
202. Real Options Strategic Cases—Option to Switch Inputs 817
203. Valuation—Convertible Warrants with a Vesting Period
and Put Protection 821
APPENDIX A
List of Models 827
APPENDIX B
List of Functions 837
APPENDIX C
Understanding and Choosing the Right Probability Distributions 899
APPENDIX D
Financial Statement Analysis 919
APPENDIX E
Exotic Options Formulae 927
APPENDIX F
Measures of Risk 941
APPENDIX G
Mathematical Structures of Stochastic Processes 957
Glossary of Input Variables and Parameters in the
Modeling Toolkit Software 963
About the DVD 995
About the Author 999
Index 1001
If you’re seeking solutions to advanced and even esoteric problems, Advanced Analytical Models goes beyond theoretical discussions of modeling by facilitating a thorough understanding of concepts and their real-world applications—including the use of embedded functions and algorithms. This reliable resource will equip you with all the tools you need to quantitatively assess risk in a range of areas, whether you are a risk manager, business decision-maker, or investor.
Johnathan Mun is currently the founder and CEO of Real Options Valuation, Inc., as well as the creator of the Real Options Super Lattice Solver software for real option valuation and Risk Simulator Monte Carlo simulation software. Prior to starting his own firm, he was the vice president of analytics at Decisioneering, Inc. Mun is also a Full Professor at the U.S. Naval Postgraduate School (California) and the University of Applied Sciences (Switzerland and Germany). He has authored numerous books, including Real Options Analysis, Real Options Analysis Course, Modeling Risk (previously titled Applied Risk Analysis before revision and updates), and Valuing Employee Stock Options (all published by Wiley). Mun has also taught and consulted for more than 300 corporations in twenty countries worldwide on risk analysis and real options, and is considered a leading authority on real options and risk analysis