QUANTITATIVE FINANCE - BLANK MODEL SET: THE BOOK'S OWN INPUTS

Each workbook has its own inputs. Type these values into the cells named - the Inputs
sheet, and for two of the files the simulation runs the book reports - and the book's
results come back. Percentages are typed as decimals (0.24 for 24 per cent).

Three_Models_Blank.xlsx  (15 inputs)
   Inputs!B7                       Spot                                                      100
   Inputs!B8                       Strike                                                    100
   Inputs!B9                       Maturity, years                                           1
   Inputs!B10                      Risk-free rate                                            0.04
   Inputs!B11                      Dividend yield                                            0
   Inputs!B12                      Implied volatility                                        0.24
   Inputs!B13                      Contracts                                                 10000
   'Three Models'!B27              1,000 paths, simulated price                              10.45226
   'Three Models'!C27              1,000 paths, payoff standard deviation                    16.702
   'Three Models'!B28              10,000 paths, simulated price                             11.284141
   'Three Models'!C28              10,000 paths, payoff standard deviation                   17.286
   'Three Models'!B29              100,000 paths, simulated price                            11.344755
   'Three Models'!C29              100,000 paths, payoff standard deviation                  17.388
   'Three Models'!B30              1,000,000 paths, simulated price                          11.424367
   'Three Models'!C30              1,000,000 paths, payoff standard deviation                17.408

The_Sensitivities_Blank.xlsx  (7 inputs)
   Inputs!B7                       Spot                                                      100
   Inputs!B8                       Strike                                                    100
   Inputs!B9                       Maturity, years                                           1
   Inputs!B10                      Risk-free rate                                            0.04
   Inputs!B11                      Dividend yield                                            0
   Inputs!B12                      Implied volatility                                        0.24
   Inputs!B13                      Contracts                                                 10000

Volatility_and_the_Price_Blank.xlsx  (8 inputs)
   Inputs!B7                       Spot                                                      100
   Inputs!B8                       Strike                                                    100
   Inputs!B9                       Maturity, years                                           1
   Inputs!B10                      Risk-free rate                                            0.04
   Inputs!B11                      Dividend yield                                            0
   Inputs!B12                      Implied volatility                                        0.24
   Inputs!B13                      Contracts                                                 10000
   'Volatility and the Price'!B24  A quoted price, for the implied volatility                12.5

The_Hedging_Simulator_Blank.xlsx  (21 inputs)
   Inputs!B7                       Spot                                                      100
   Inputs!B8                       Strike                                                    100
   Inputs!B9                       Maturity, years                                           1
   Inputs!B10                      Risk-free rate                                            0.04
   Inputs!B11                      Dividend yield                                            0
   Inputs!B12                      Implied volatility                                        0.24
   Inputs!B13                      Contracts                                                 10000
   Inputs!B27                      Rebalances over the year                                  52
   Inputs!B28                      Realised volatility                                       0.2
   Inputs!B29                      Path drift, per year                                      0.06
   'What It Pays'!D8               Simulated mean profit, realised volatility 20%            1.5981
   'What It Pays'!D9               Simulated mean profit, realised volatility 24%            0.0004
   'What It Pays'!D10              Simulated mean profit, realised volatility 28%            -1.6022
   'What It Pays'!B19              12 rebalances, standard deviation of the residue          2.3031
   'What It Pays'!B20              52 rebalances, standard deviation of the residue          1.1512
   'What It Pays'!B21              252 rebalances, standard deviation of the residue         0.5265
   'What It Pays'!B22              1,008 rebalances, standard deviation of the residue       0.2632
   'What It Pays'!E19              12 rebalances, mean of the residue                        0.0092
   'What It Pays'!E20              52 rebalances, mean of the residue                        0.0044
   'What It Pays'!E21              252 rebalances, mean of the residue                       0.0004
   'What It Pays'!E22              1,008 rebalances, mean of the residue                     0.0018

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