Invest Excel

Pricing European Swaptions with Excel

This article introduces introduces interest-rate options,or Swaptions, and provides a pricing spreadsheet. They are popular with institutions that have cash-flow requirements which are affected by interest rates.

Pricing Foreign Exchange Options

This article introduces Foreign Exchange Options, and provides an Excel spreadsheet to calculate their price.

Pricing Caplets and Floorlets with Excel

Caplets and Floorlets with the Black Model

A Cap or Floor option protect the buyer from changes in interest rates.

European Options under Jump Diffusion

This guide offers an Excel spreadsheet and tutorial that explores the importance of modeling jump diffusion when predicting option prices.

Pricing Lookback Options

Lookback options let the contract holder trade the underlying asset at the optimum price reached over the life of the contract. They are often purchased by investors who want to avoid the regret of not anticipating the correct market timing.

Excel Spreadsheets for Binary Options

This article introduces binary options and provides several pricing spreadsheets.

Asian Options – Tutorial and Excel Spreadsheet

This articles explores Asian options, and offers an Excel spreadsheet based on geometric and arithmetic averages.

Pricing American Options with a Trinomial Tree and Excel

Trinomial option pricing was proposed by Boyle (1986) and extends the binomial method to better reflect the actual behavior of financial instruments.

Jump Diffusion

This Excel spreadsheet provides a simple implementation of jump diffusion. This technique is useful for modeling stock prices (or indeed other commodities, such as energy prices) subject to sudden shocks.

Binomial Tree for Pricing American Options

This Excel spreadsheet prices an American option with a Binomial Tree. The spreadsheet also generates the pricing lattice, which can be viewed.

Mean-Variance Optimization with Transaction Costs

This Excel spreadsheet demonstrates the classic mean-variance approach for portfolio optimization, but includes the added complication of transaction costs.

Modified Omega Ratio Favors Rewarding Asset Behavior

The Omega Ratio can be modified so that it favors return distributions that are skewed to the right with a positive mean, and an exponentially decreasing left-tail. This penalizes dangerous asset behavior which can potentially exist as an edge case.

How to Annualize a Sharpe Ratio

Sharpe Ratios are equal to the effective return divided by the standard deviation. Commonly, Sharpe Ratios on a daily, weekly …

Asset Allocation by Maximizing the Omega Ratio of a Portfolio

This Excel spreadsheet finds the investment weights that maximize the Omega Ratio of a portfolio. Under realistic conditions, this requires non-convex global optimizers – Excel’s optimizers are not robust enough. So consider the simplified problem in this spreadsheet as a learning exercise.

Implied Volatility

Learn about implied volatility, how it effects trading strategies and download a spreadsheet.