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

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T his book constitutes a guide for implementing advanced option pricing models and volatility in Excel/VBA. It can be used by MBA students specializing in finance and risk management, by practitioners, and by undergraduate students in their final year. Emphasis has been placed on implementing the models in VBA, rather than on the theoretical developments underlying the models. We have made every effort to explain the models and their coding in VBA as simply as possible. Every model covered in this book includes one or more VBA functions that can be accessed on the CD-ROM. We have focused our attention on equity options, and we have chosen not to include interest rate options. The particularities of interest rate options place them in a separate class of derivatives.

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.

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