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Other titles in the Wiley Finance series:

Option Pricing Models and Volatility Using Excel-VBA with CDROM (Wiley Finance)

by

Option Pricing Models and Volatility Using Excel-VBA with CDROM (Wiley Finance) Cover

 

Synopses & Reviews

Publisher Comments:

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

Synopsis:

Fabrice Douglas Rouah (Montreal, ON, Canada) is a Montreal Institute of Financial Mathematics (IFM2) Scholar and is currently with McGill University in Montreal. Greg Vainberg (Montreal, ON, Canada) is a Corporate Risk Specialist at a large consulting firm in Montreal. He is also the creator of the top finance and math VBA site on Google.

Synopsis:

A practical guide to implementing advanced option pricing models and stochastic volatility using Excel/VBA

This book offers practitioners the tools and techniques needed to use advanced models for pricing options and obtaining volatility. Divided into three comprehensive parts, Option Pricing Models and Volatility Using Excel/VBA describes cutting-edge option pricing formulas and stochastic volatility models. This book also includes a CD-ROM that contains Excel spreadsheets and VBA functions to implement all of the models presented in the book. Accessible and informative, Option Pricing Models and Volatility Using Excel/VBA is the perfect guide for those who realize the value of more advanced models and want to understand the math behind them.

Fabrice Douglas Rouah (Montreal, ON, Canada) is a Montreal Institute of Financial Mathematics (IFM2) Scholar and is currently with McGill University in Montreal. Greg Vainberg (Montreal, ON, Canada) is a Corporate Risk Specialist at a large consulting firm in Montreal. He is also the creator of the top finance and math VBA site on Google.

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

About the Author

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

Chapter 1 Mathematical Preliminaries.

Complex Numbers.

Finding Roots of Functions.

OLS and WLS.

Nelder-Mead Algorithm.

Maximum Likelihood Estimation.

Cubic Spline Interpolation.

Exercises and Solutions.

Chapter 2 Numerical Integration.

Newton-Coates Formulas.

Implementing Newton-Coates Formulas in VBA.

Gaussian Quadratures.

Exercises and Solutions.

Chapter 3 Tree-Based Methods.

CRR Binomial Tree.

Leisen-Reimer Binomial Tree.

Edgeworth Binomial Tree.

Flexible Binomial Tree.

Trinomial Tree.

Adaptive Mesh Method.

Comparing Trees.

Implied Volatility Trees.

Allowing for Dividends and the Cost of Carry.

Exercises and Solutions.

Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models.

Black-Scholes Model.

Implied Volatility and the DVF.

Practitioner Black-Scholes Model.

Gram-Charlier Model.

Exercises and Solutions.

Chapter 5 The Heston Stochastic Volatility Model.

Heston (1993) Model.

Increasing Integration Accuracy.

The Fundamental Tranform.

Sensitivity Analysis.

Exercises and Solutions.

Chapter 6 The Heston and Nandi GARCH Model.

Persistent Volatility in Asset Returns.

GARCH Variance Modeling.

Heston and Nandi (2000) Model.

Exercises and Solutions.

Chapter 7 The Greeks.

Black-Scholes Greeks.

Greeks From the Trees.

Greeks From the Gram-Charlier Model.

Greeks From the Heston (1993) Model.

Greeks From the Heston and Nandi (2000) Model.

Greeks by Finite Differences.

Exercises and Solutions.

Chapter 8 Exotic Options.

Single-Barrier Options.

Digital Options.

Asian Options.

Floating-Strike Lookback Options.

Exercises and Solutions.

Chapter 9 Parameter Estimation.

Unconditional Moments.

Maximum Likelihood for GARCH Models.

Estimation by Loss Functions.

Exercises and Solutions.

Chapter 10 Implied Volatility.

Obtaining Implied Volatility.

Explaining Smiles and Smirks

Fitting the Smile with the Heston (1993) Model.

Exercises and Solutions.

Chapter 11 Model-Free Implied Volatility.

Theoretical Foundation.

Implementation.

Interpolation-Extrapolation Method.

Model-Free Implied Forward Volatility.

The VIX Index.

Exercises and Solutions.

Chapter 12 Model-Free Higher Moments.

Theoretical Foundation.

Implementation.

Verifying Implied Moments.

Gram-Charlier Implied Moments.

Exercises and Solutions.

Chapter 13 Volatility Returns.

Straddle Returns.

Delta-Hedged Gains.

Volatility Exposure.

Variance Swaps.

Exercises and Solutions.

Appendix VBA Primer.

Product Details

ISBN:
9780471794646
Author:
Rouah, Fabrice Douglas
Publisher:
John Wiley & Sons
Author:
Vainberg, Greg
Author:
Cram101 Textbook Reviews
Author:
Rouah, Fabrice
Author:
Rouah, Fabrice D.
Author:
Vainberg, Gregory
Subject:
Spreadsheets - Excel
Subject:
Mathematical models
Subject:
Investments & Securities - Options
Subject:
Options (finance)
Subject:
Finance
Subject:
Options (Finance) -- Prices.
Subject:
Options (Finance) -- Mathematical models.
Subject:
Education-General
Subject:
Institutional & Corporate Finance
Subject:
General-General
Copyright:
Edition Description:
WebSite Associated w/Book
Series:
Wiley Finance
Series Volume:
361
Publication Date:
20070709
Binding:
TRADE PAPER
Grade Level:
General/trade
Language:
English
Illustrations:
Y
Pages:
441
Dimensions:
9.16x7.59x.94 in. 1.71 lbs.

Related Subjects

Business » Investing
Business » Investing » Options
Computers and Internet » Personal Computers » Desktop Applications » Spreadsheets
Science and Mathematics » Mathematics » Econometrics

Option Pricing Models and Volatility Using Excel-VBA with CDROM (Wiley Finance) New Trade Paper
0 stars - 0 reviews
$105.50 In Stock
Product details 441 pages John Wiley & Sons - English 9780471794646 Reviews:
"Synopsis" by , Fabrice Douglas Rouah (Montreal, ON, Canada) is a Montreal Institute of Financial Mathematics (IFM2) Scholar and is currently with McGill University in Montreal. Greg Vainberg (Montreal, ON, Canada) is a Corporate Risk Specialist at a large consulting firm in Montreal. He is also the creator of the top finance and math VBA site on Google.
"Synopsis" by , A practical guide to implementing advanced option pricing models and stochastic volatility using Excel/VBA

This book offers practitioners the tools and techniques needed to use advanced models for pricing options and obtaining volatility. Divided into three comprehensive parts, Option Pricing Models and Volatility Using Excel/VBA describes cutting-edge option pricing formulas and stochastic volatility models. This book also includes a CD-ROM that contains Excel spreadsheets and VBA functions to implement all of the models presented in the book. Accessible and informative, Option Pricing Models and Volatility Using Excel/VBA is the perfect guide for those who realize the value of more advanced models and want to understand the math behind them.

Fabrice Douglas Rouah (Montreal, ON, Canada) is a Montreal Institute of Financial Mathematics (IFM2) Scholar and is currently with McGill University in Montreal. Greg Vainberg (Montreal, ON, Canada) is a Corporate Risk Specialist at a large consulting firm in Montreal. He is also the creator of the top finance and math VBA site on Google.

"Synopsis" by , 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

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