Option Pricing Models and Volatility Using Excel-VBA Contributor(s): Rouah, Fabrice D. (Author), Vainberg, Gregory (Author) |
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ISBN: 0471794643 ISBN-13: 9780471794646 Publisher: Wiley OUR PRICE: $103.50 Product Type: Paperback - Other Formats Published: April 2007 Annotation: 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." "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." "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." |
Additional Information |
BISAC Categories: - Business & Economics | Investments & Securities - Options - Computers | Desktop Applications - Spreadsheets - Business & Economics | Finance - General |
Dewey: 332.645 |
LCCN: 2006031250 |
Series: Wiley Finance |
Physical Information: 0.94" H x 7.59" W x 9.16" (1.71 lbs) 464 pages |
Descriptions, Reviews, Etc. |
Publisher Description: 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-VBAExcel 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. 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. 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. |