Escolar Documentos
Profissional Documentos
Cultura Documentos
Simulation and
Optimization
Wayne L. Winston
Table of Contents
Chapter 1: Sensitivity Analysis with Data Tables
15
29
37
45
53
Table of Contents
iii
Chapter7:UsingPolynomialRegressiontoResolveNonlinearities
59
Chapter8:TheMultiplicativeModelEstimatingDemand
63
Chapter9:UsingthePivotTableReportandRegressionto
AnalyzeMarketEfficiency
67
UsingthePivotTableReport...........................................................................67
UsingRegressiontoLookforMarketInefficiencies.....................................71
UsingaNeuralNetworktoLookforPatterns..............................................74
TheJanuaryEffect.............................................................................................75
Chapter10:TestingInvestmentStrategies
77
Chapter11:TheBassModelforSalesofaProduct
81
Chapter12:FittingtheYieldCurve
85
FittingtheYieldCurve.....................................................................................86
GeneratingImpliedForwardRates................................................................88
Chapter13:DeterminingMonthlyLoanPayments
91
UsingtheSolvertoFindtheMonthlyPayment............................................93
Chapter14:FundingaPensionLiability
95
Chapter15:MultiperiodCapitalBudgeting
101
Chapter16:PortfolioOptimizationwithSolver
107
FindingtheMeanandVarianceofaPortfolio............................................107
FindingtheEfficientFrontier........................................................................112
TheScenarioApproachtoPortfolioOptimization.....................................113
Chapter17:AnIntroductiontoEvolverTheFixedChargeProblem
117
AnIntroductiontoGeneticAlgorithms.......................................................118
IntroductiontoEvolver..................................................................................120
Chapter18:UsingEvolvertoMaximizetheChanceof
BeatingtheSandPIndex
127
Chapter19:APortfolioApproachtoProjectSelection
131
UsingEvolvertoSelecttheProjects..............................................................134
Chapter20:UsingAHPandSolverforProjectSelection
135
AHPAnalysis..................................................................................................136
iv
SettingUptheSolverModel..........................................................................138
Chapter21:SelectingDriversforanABCCostingSystem
141
UsingSolvertoDetermineanOptimalSetofDrivers...............................143
Chapter22:PricingModelswithSolver
149
TieInsandPricing..........................................................................................152
Chapter23:NonlinearPricing
155
FindingtheOptimalTwopartTariff...........................................................159
Chapter24:PriceBundling
163
Chapter25:DurationandImmunizationAgainstInterestRateRisk
171
PricingBonds...................................................................................................171
QuasiModifiedDurationandInterestRateRisk.......................................174
ImmunizationandInterestRateRisk...........................................................176
DurationMatching..........................................................................................179
Chapter26:FindingArbitrageOpportunities
183
AnExamplewithNoArbitrage....................................................................186
Chapter27:Introductionto@RISKTheNewspersonProblem
189
FindingConfidenceIntervalforExpectedProfit........................................193
NormalDemand..............................................................................................194
Chapter28:SimulatingaNewProductTheHippoExample
199
TornadoGraphsandScenarios.....................................................................205
Chapter29:Using@RISKtoDeterminePlantCapacity
209
Chapter30:UtilityTheoryandSimulation
211
FittingtheUtilityCurve.................................................................................212
SimulatingtheCapacityDecision.................................................................214
FindingtheCertaintyEquivalentoftheOptimalDecision.......................215
Chapter31:SimulatingDevelopmentofaNewDrug
217
InterpretingtheTornadoGraphs..................................................................222
Chapter32:UsingSimulationtoModelanAcquisition
225
ModelingtheCashFlows...............................................................................227
Table of Contents
Chapter33:SimulatingProFormaFinancialStatements
235
EstimationofModelParameters...................................................................238
SettingUptheSpreadsheet............................................................................239
RunningtheSimulation.................................................................................241
Chapter34:TheValueofaCustomer
245
Chapter35:TheRISKGeneralFunction
251
Chapter36:TheRISKCumulativeFunction
255
Chapter37:TheRISKTrigenFunction
259
Chapter38:UsingDatatoObtainInputsforNewProductSimulations 263
TheScenarioApproachtoModelingVolumeUncertainty.......................263
ModelingMarketSharesResponsetoCompetition..................................266
SimulatingMarketShareforaNewProduct..............................................269
ModelingPriceUncertainty...........................................................................271
SimulatingthePriceofaNewProduct........................................................274
ModelingStatisticalRelationshipswithOneIndependentVariable.......275
ModelingRelationshipsInvolvingMorethanOne
IndependentVariable..................................................................................283
SimulatingSalesofaNewProductwiththeBassModel..........................290
Chapter39:ObtainingaDistributionofIRRs
295
Chapter40:TheRiskNeutralApproachtoOptionPricing
299
Chapter41:TheLognormalModelofStockPrices
301
RiskNeutralValuation...................................................................................302
FindingMeanandVarianceofaLognormalRandomVariable...............304
Chapter42:PricingEuropeanPutsandCallsbySimulation
307
UsingSimulationtoPricethePut.................................................................309
vi
Chapter43:PricingExoticOptions
311
Chapter44:PricinganAsYouLikeItOption
315
Chapter45:FindingValueatRisk(VAR)ofaPortfolio
319
Chapter46:FindingConfidenceIntervalsforPercentiles
323
Chapter47:DoingVARandPricingOptionsInvolving
CorrelatedStocks
325
PricingOptionsonCorrelatedStocks..........................................................328
Chapter48:ComputingVARforForwardsandFutures
333
PricingofFuturesContracts..........................................................................334
Chapter49:HedgingwithFutures
339
AnOverviewofHedging...............................................................................339
Chapter50:ForeignExchangeOptionsandHedging
ForeignExchangeRisk
343
Chapter51:ModelingMeanRevertingProcesses
347
SimulatingaMeanRevertingProcess..........................................................348
Chapter52:SimulatingExchangeRiskValuinga
ForeignCurrencySwap
353
WhereistheUncertainty?..............................................................................354
SimulatingtheSwap.......................................................................................357
Chapter53:SimulatingYieldCurveMovementsBasedon
HistoricalData
361
Runningan@RISKSimulationofFutureYieldCurves.............................366
FixedRateorARM?........................................................................................369
ValuingInterestRateDerivatives.................................................................373
Chapter54:DeltaHedging
377
Chapter55:UsingtheRiskNeutralApproachtoValueRealOptions
381
AnAbandonmentOption..............................................................................384
AnOptiontoPostpone(BasedonTrigeorgis(1995)).................................386
ValuingtheOptiontoExpand......................................................................388
ValuingtheOptiontoContract.....................................................................390
APioneerOption.........................................................................................392
Table of Contents
vii
Chapter56:PricinganAmericanOptionwithBinomialTrees
395
TheStockPriceTree........................................................................................396
ComputingtheEarlyExerciseBoundary.....................................................401
SimulatingtheActualCashFlowsfromanAmericanOption.................403
Chapter57:UsingRealOptionstoValueaLeaseonaGoldMine
405
Chapter58:ValuinganOptiontoPurchaseaCompany
409
WhenDoWeBuy?..........................................................................................413
Chapter59:M2ARiskAdjustedMeasureofPortfolioReturn
415
SpreadsheetImplementationofM ..............................................................416
2
Chapter60:MaximizingLongTermGrowthTheKellyCriteria
419
SimulatingLongTermGrowth.....................................................................422
Chapter61:@RISKandMacrosTheBirthdayProblemandKeno
425
HowtoPlayKeno...........................................................................................430
Chapter62:SimulatingtheNCAATournament
433
Chapter63:UsingtheSolverwith@RISK
437
SettinguptheSolverModel...........................................................................439
SectionII@RISKFunctions
445
RISKDiscreteFunction....................................................................................445
RISKSimTableFunction..................................................................................446
RISKDUniformFunction................................................................................446
BinomialDistribution.....................................................................................447
TheNormalRandomVariable......................................................................448
RISKTriang.......................................................................................................449
RISKTrigenFunction......................................................................................450
RISKUniformFunction...................................................................................451
TheRISKGeneralFunction............................................................................452
ModelingCorrelations....................................................................................454
RISKTruncateFunction..................................................................................455
RISKPertFunction...........................................................................................456
Index
viii
457