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Option Pricing Models and Volatility Using Excel-VBA Fabrice D. Rouah

Option Pricing Models and Volatility Using Excel-VBA By Fabrice D. Rouah

Option Pricing Models and Volatility Using Excel-VBA by Fabrice D. Rouah


$20.99
Condition - Very Good
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Summary

Practitioners are aware that more advanced models are far better suited at pricing options, but they are intimidated by the mathematics of these models, and discouraged at having to write lengthy code to implement them. This book will provide them with the tools and understanding of how to implement these models.

Option Pricing Models and Volatility Using Excel-VBA Summary

Option Pricing Models and Volatility Using Excel-VBA by Fabrice D. Rouah

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

About Fabrice D. 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.

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.

Table of Contents

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

Additional information

GOR003404466
9780471794646
0471794643
Option Pricing Models and Volatility Using Excel-VBA by Fabrice D. Rouah
Used - Very Good
Paperback
John Wiley & Sons Inc
2007-04-26
464
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us

Customer Reviews - Option Pricing Models and Volatility Using Excel-VBA