Option Pricing Models and Volatility

Using Excel-VBA

Fabrice Douglas Rouah, Gregory Vainberg - Collection Wiley Finance

442 pages, parution le 15/04/2007

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Résumé

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 entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." - Espen Gaarder Haug, option trader, philosopher, nd author of Derivatives Models on Models

"I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." - Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

L'auteur - Fabrice Douglas Rouah

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.

L'auteur - Gregory Vainberg

Gregory Vainberg is a Corporate Risk Specialist at a large consulting firm in Montreal. He is also the creator of the top finance and a math VBA Web site.

Sommaire

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
Appendix A: A VBA Primer
References
About the CD-ROM

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Fabrice Douglas Rouah, Gregory Vainberg
Collection	Wiley Finance
Parution	15/04/2007
Nb. de pages	442
Format	19 x 23
Couverture	Broché
Poids	795g
Intérieur	Noir et Blanc
EAN13	9780471794646
ISBN13	978-0-471-79464-6