Option Pricing Models and Volatility Using Excel-VBA [With CD-ROM]

Name: Option Pricing Models and Volatility Using Excel-VBA [With CD-ROM]
Brand: Wiley
SKU: 9780471794646
Price: 7921.0 INR
Availability: InStock

by Fabrice D. Rouah

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ISBN13: 9780471794646
Binding: Paperback
Subject: N/A
Publisher: Wiley
Publisher Imprint: Wiley
Publication Date: April 1, 2007
Pages: 441
Original Price: USD 115.0
Language: English
Edition: N/A
Item Weight: 776 grams
BISAC Subject(s): Investments & Securities / Options and Business & Productivity Software / Spreadsheets

About The Book

From the Back Cover
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

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.

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