Option Pricing Models and Volatility Using Excel-VBA

by Rouah, Fabrice D.; Vainberg, Gregory

• ISBN13: 9780471794646
• ISBN10: 0471794643
• Edition: 1st
• Format: Paperback
• Copyright: 2007-04-13
• 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

Author Biography

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

Preface	p. ix
Mathematical Preliminaries	p. 1
Numerical Integration	p. 39
Tree-Based Methods	p. 70
The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models	p. 112
The Heston (1993) Stochastic Volatility Model	p. 136
The Heston and Nandi (2000) GARCH Model	p. 163
The Greeks	p. 187
Exotic Options	p. 230
Parameter Estimation	p. 275
Implied Volatility	p. 304
Model-Free Implied Volatility	p. 322
Model-Free Higher Moments	p. 350
Volatility Returns	p. 374
A VBA Primer	p. 404
References	p. 409
About the CD-ROM	p. 413
About the Authors	p. 417
Index	p. 419
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