Fama-French Model
C = S ⋅ N ( d1 ) − X ⋅ e − rt ⋅ N ( d 2 ) σ2 μ 2|1 = μ 2 + ρ ( z1 − μ1 ) σ1 Modeling
Financial Markets with 45
40
35
30
25
20
15
10
5
0
120.00%
Excel and VBA
100.00%
80.00%
51
60.00%
50.5
40.00%
σ = ω ⋅ Ω ⋅ω
2
p
0
0.
02
0.
04
0.
06
0.
08
0.
1
-0
.1
-0
.0
8
-0
.0
6
-0
.0
4
-0
.0
2
Frequency
Histogram
Bin
T
20.00%
50
0.00%
49.5
49
48.5
1
Ben Van Vliet
May 9 , 2011
13 25 37 49 61 73 85 97 109 121 133 145 157 169 181 193 205 217 229 241
I.
A.
B.
C.
D.
E.
F.
G.
II.
A.
B.
C.
D.
E.
F.
II.
A.
B.
D.
F.
G.
H.
I.
J.
K.
L.
M.
N.
O.
P.
Q.
III.
A.
III.
A.
C.
E.
F.
G.
H.
IV.
A.
B.
C.
D.
GETTING STARTED WITH EXCEL ....................................................................... 4
Things You Should Be Familiar With ........................................................................ 5
Working with Cells ..................................................................................................... 7
Working with Data ...................................................................................................... 9
Working with Dates and Times ................................................................................ 10
Other Functionality ................................................................................................... 11
Getting Price Data from Yahoo! Finance ................................................................. 12
LAB 1: Calculating Volatility and Covariance ........................................................ 13
Advanced Excel Functionality .................................................................................. 14
Goal Seek .................................................................................................................. 14
Data Tables
Financial Markets with 45
40
35
30
25
20
15
10
5
0
120.00%
Excel and VBA
100.00%
80.00%
51
60.00%
50.5
40.00%
σ = ω ⋅ Ω ⋅ω
2
p
0
0.
02
0.
04
0.
06
0.
08
0.
1
-0
.1
-0
.0
8
-0
.0
6
-0
.0
4
-0
.0
2
Frequency
Histogram
Bin
T
20.00%
50
0.00%
49.5
49
48.5
1
Ben Van Vliet
May 9 , 2011
13 25 37 49 61 73 85 97 109 121 133 145 157 169 181 193 205 217 229 241
I.
A.
B.
C.
D.
E.
F.
G.
II.
A.
B.
C.
D.
E.
F.
II.
A.
B.
D.
F.
G.
H.
I.
J.
K.
L.
M.
N.
O.
P.
Q.
III.
A.
III.
A.
C.
E.
F.
G.
H.
IV.
A.
B.
C.
D.
GETTING STARTED WITH EXCEL ....................................................................... 4
Things You Should Be Familiar With ........................................................................ 5
Working with Cells ..................................................................................................... 7
Working with Data ...................................................................................................... 9
Working with Dates and Times ................................................................................ 10
Other Functionality ................................................................................................... 11
Getting Price Data from Yahoo! Finance ................................................................. 12
LAB 1: Calculating Volatility and Covariance ........................................................ 13
Advanced Excel Functionality .................................................................................. 14
Goal Seek .................................................................................................................. 14
Data Tables