BobBannon, CFA FRM

Worked examples and coded Excel macros allow the user to generate independent random variables from more than two dozen different probability distributions. Examples include both continuous and discrete distributions, as well as univariate and multivariate distributions. Specialty examples include the generation of variables from a four-parameter stable distribution, from the generalized extreme value distribution and from the Cauchy distribution as well as generating variables from lesser known distributions such as the Rayleigh, Frechet, Erlang, LaPlace and Gompertz distributions.

Worked examples and coded Excel macros allow the user to generate a variety of robust estimates of the correlation between two random variables. Sixteen different measures from the literature have been coded, including various rank correlation estimators (Spearman, Kendall, Quadrant, Goodman-Kruskal) as well as estimators that allow the user to set the degree to which the input data are either trimmed or Winsorized. Specialty techniques such as the percentage bend correlation and the Fisher-Yates "scores" correlation are also available. A simulated dataset is provided for comparison purposes where the data have been simulated as a multivariate normal with a known correlation.

Coded Excel macros are provided for four well-known option models: Black-Scholes, Black, Merton and Garman-Kohlhagen. In addition to the usual put and call option pricing formulas, all possible first derivatives (including with respect to the strike price) are provided. More importantly, however, macros for ALL POSSIBLE second derivatives, including cross derivatives, are provided. Accuracy to small changes in the underlying inputs has been tested and confirmed for every macro provided.