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Option pricing models and volatility using Excel-VBA [electronic resource] / Fabrice Douglas Rouah, Gregory Vainberg.

By: Rouah, Fabrice, 1964-.
Contributor(s): Vainberg, Gregory, 1978-.
Material type: TextTextSeries: Wiley finance series: Publisher: Hoboken, N.J. : John Wiley & Sons, c2007Description: 1 online resource (xi, 441 p.) : ill.ISBN: 9780470125755; 0470125756.Subject(s): Options (Finance) -- Prices | Capital investments -- Evaluation -- Mathematical models | Options (Finance) -- Mathematical models | Microsoft Excel (Computer file) | Microsoft Visual Basic for applications | Microsoft Excel | Microsoft Visual Basic for applications | Options (Finances) -- Prix | Investissements de capitaux -- �Evaluation -- Mod�eles math�ematiques | Options (Finances) -- Mod�eles math�ematiques | BUSINESS & ECONOMICS -- Investments & Securities -- GeneralGenre/Form: Electronic books.Additional physical formats: Print version:: Option pricing models and volatility using Excel-VBA.DDC classification: 332.64/53 Online resources: EBSCOhost
Contents:
Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
Summary: 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.
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Includes bibliographical references (p. 409-412) and index.

Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.

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.

Description based on print version record.

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Option pricing models and volatility using Excel-VBA by Rouah, Fabrice, ©2007
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