Excel Vba Finance - PDF - PDF

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Option Pricing Models and Volatility Using Excel-VBA

Description:    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.

                About the Author:

                Fabrice Douglas Rouah is a Senior Quantitative Analyst at a large financial firm in Boston. He is co-
                author and co-editor 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.



Contents:       Preface.

                Chapter 1. Mathematical Preliminaries.

                Chapter 2. Numerical Integration.

                Chapter 3. Tree-Based Methods.

                Chapter 4. The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models.
                Chapter 5. The Heston (1993) Stochastic Volatility Model.

                Chapter 6. The Heston and Nandi (2000) GARCH Model.

                Chapter 7. The Greeks.

                Chapter 8. Exotic Options.

                Chapter 9. Parameter Estimation.

                Chapter 10. Implied Volatility.

                Chapter 11. Model-Free Implied Volatility.

                Chapter 12. Model-Free Higher Moments.

                Chapter 13. Volatility Returns.

                Appendix A: A VBA Primer.

                References.
            About the CD-ROM.

            About the Authors.

            Index.



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