Option Pricing Models and Volatility Using Excel-VBA

Name: Option Pricing Models and Volatility Using Excel-VBA
Availability: InStock
ISBN: 9780471794646

ISBN-10: 0471794643

ISBN-13: 9780471794646

Edition: 2007

Authors: Fabrice D. Rouah, Gregory Vainberg

List price: $115.00

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Praise for Option Pricing Models & Volatility Using Excel-VBA"Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers."-Peter Christoffersen, Associate Professor of Finance,Desautels Faculty of Management, McGill University"This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an…

Book details

List price: $115.00
Copyright year: 2007
Publisher: John Wiley & Sons, Incorporated
Publication date: 4/13/2007
Binding: Paperback
Pages: 464
Size: 7.48" wide x 9.27" long x 0.94" tall
Weight: 2.024
Language: English

Fabrice Douglas Rouah is a Senior Quantitative Analyst at a large financial firm in Boston. He is coauthor and coeditor of four books on hedge funds and CTAs. This is his third book with John Wiley & Sons. Gregory Vainberg is a Corporate Risk Specialist at a large consulting firm in Montreal. He is also the creator of the top finance and math VBA Web site, www.vbnumericalmethods.com.



Preface



Mathematical Preliminaries



Numerical Integration



Tree-Based Methods



The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models



The Heston (1993) Stochastic Volatility Model



The Heston and Nandi (2000) GARCH Model



The Greeks



Exotic Options



Parameter Estimation



Implied Volatility



Model-Free Implied Volatility



Model-Free Higher Moments



Volatility Returns



A VBA Primer


References


About the CD-ROM


About the Authors


Index