Fabrice D. Rouah, Gregory Vainberg

Option Pricing Models and Volatility Using Excel-VBA (eBook, PDF)

• Format: PDF

Produktbeschreibung

This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. 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, and 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

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 456
• Erscheinungstermin: 5. Juli 2007
• Englisch
• ISBN-13: 9780470125755
• Artikelnr.: 37290611

Autorenporträt

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.

Inhaltsangabe

Preface ix
Chapter 1 Mathematical Preliminaries 1
Chapter 2 Numerical Integration 39
Chapter 3 Tree-Based Methods 70
Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier
Models 112
Chapter 5 The Heston (1993) Stochastic Volatility Model 136
Chapter 6 The Heston and Nandi (2000) GARCH Model 163
Chapter 7 The Greeks 187
Chapter 8 Exotic Options 230
Chapter 9 Parameter Estimation 275
Chapter 10 Implied Volatility 304
Chapter 11 Model-Free Implied Volatility 322
Chapter 12 Model-Free Higher Moments 350
Chapter 13 Volatility Returns 374
Appendix a A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419

Rezensionen

"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.