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Item Details
| Title:
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OPTION PRICING MODELS AND VOLATILITY USING EXCEL-VBA
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| By: |
Fabrice Douglas Rouah, Gregory Vainberg |
| Format: |
Paperback |
| List price:
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£90.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
0471794643 |
| ISBN 13: |
9780471794646 |
| Publisher: |
JOHN WILEY AND SONS LTD |
| Pub. date: |
1 April, 2007 |
| Series: |
Wiley Finance Series |
| Pages: |
442 |
| Description: |
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. |
| Synopsis: |
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 |
| Illustrations: |
Illustrations |
| Publication: |
US |
| Imprint: |
John Wiley & Sons Inc |
| Returns: |
Returnable |
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