Option Pricing Models and Volatility Using Excel^®-VBA

by Fabrice Douglas Rouah; Gregory Vainberg

• ISBN13: 9780470125755
• ISBN10: 0470125756
• Format: eBook
• Copyright: 2007-07-01
• Publisher: Wiley

Summary

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

Table of Contents

Preface

Mathematical Preliminaries

Numerical Integration

Tree-Based Methods

The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models

The Heston (1993) Stochastic Volatility Model

The Heston and Nandi (2000) GARCH Model

The Greeks

Exotic Options

Parameter Estimation

Implied Volatility

Model-Free Implied Volatility

Model-Free Higher Moments

Volatility Returns

A VBA Primer

References

About the CD-ROM

About the Authors

Index

Table of Contents provided by Publisher. All Rights Reserved.