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Option Pricing Models and Volatility Using Excel-VBA PDF

458 Pages·2007·10.188 MB·English
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by Fabrice Douglas Rouah, Gregory Vainberg| 2007| 458 pages| 10.188| English

About Option Pricing Models and Volatility Using Excel-VBA

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

Detailed Information

Author:Fabrice Douglas Rouah, Gregory Vainberg
Publication Year:2007
ISBN:9780470125755
Pages:458
Language:English
File Size:10.188
Format:PDF
Price:FREE
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