Option Pricing Models and Volatility Using Excel-VBA
- 6h 22m
- Fabrice Douglas Rouah, Gregory Vainberg
- John Wiley & Sons (US)
- 2007
This 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. 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.
About the Authors
Fabrice Douglas Rouah is a senior quantitative analyst at a large financial institution and is based in Boston, MA. He obtained both his PhD in finance and his MSc in statistics from McGill University, and his BSc in applied mathematics from Concordia University. Fabrice is a former faculty lecturer and consulting statistician in the Department of Mathematics and Statistics at McGill University. His research interests are in hedge funds, risk management, and equity option pricing. He is coauthor and coeditor of four books on hedge funds. This is his third book with John Wiley & Sons.
Gregory Vainberg is a corporate risk specialist with a large multinational consulting firm, and is based in Montreal, Quebec. He obtained both his PhD in finance and his BEng in computer engineering from McGill University. Prior to obtaining his PhD, he was lead developer for Summit Tech, a Montreal-based consultancy, where he developed software applications in VBA, C+ + , and PHP for companies such as Bombardier, CAE, and Ericsson. His research interests are equity option pricing, stochastic volatility, volatility swaps, and empirical finance. He is the creator of the top finance and math VBA site vbnumericalmethods.com.
In this Book
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Mathematical Preliminaries
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Numerical Integration
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Tree-Based Methods
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The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models
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The Heston (1993) Stochastic Volatility Model
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The Heston and Nandi (2000) GARCH Model
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The Greeks
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Exotic Options
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Parameter Estimation
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Implied Volatility
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Model-Free Implied Volatility
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Model-Free Higher Moments
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Volatility Returns
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References
