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
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04
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08
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1

-0
.1
-0
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8
-0
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-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

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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