Рынок ценных бумаг
Финансово-экономические дисциплины
  • формат pdf
  • размер 14.53 МБ
  • добавлен 12 сентября 2011 г.
Rouah F.D. Option Pricing Models and Volatility Using Excel-VBA
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. 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.


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 mode 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


Publisher: Wiley
Language: English
ISBN: 0471794643
Paperback: 441 pages
Data: Apr 2007
Format: PDF
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