Product Description

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

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Product Details

Publisher	Wiley
ISBN	0471794643
Format	Paperback
Author	Fabrice Douglas Rouah,Gregory Vainberg
EAN	9780471794646
Label	Wiley
Dewey Decimal Number	332.6453
Studio	Wiley
Number Of Pages	441
Title	Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)
Publication Date	2007-04-13
Manufacturer	Wiley

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Customer Reviews

A Great Book to Own

Review by JS, 2010-03-08

This is a great book to own. I'm doing trading job on the street and also need to build models all the time. I was looking for a handy book explaining how to build some models using Excel VBA. And this is the only book I found in the market which exactly fits my needs. The model building methodologies are clear and advanced, code is very applicable, not hard to understand and implement yourself. The most important, the models author introduced in the book are very useful and exactly what we need to build and use in my job. So generally, it's a must-have book if you're working on the trading floor or need to build models using VBA. BTW, the book omits some codes (as some reviewer points out), but don't worry, all the completed codes can be found in the disk. So it's not a problem if you use the disk.

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Happiness is reality vs expectation.

Review by B. Manistre, 2010-02-23

When I purchased this book I was looking for a quick way to get reliable code implementing the Heston model in an Excel/VBA environment. In particular, I was doing research work on long dated options. I found the book useful but my expectations were not met.

The book was useful in that it introduced me to complex variable techniques for Excel/VBA and illustrated a reasonable approach to solving the Heston model. The devil was in the details.

The VB routines on the CD often fall over for long dated options (underflow/overflow) and some well known subtlties of complex calculus appear to be ignored (e.g. keeping track of the branch you are on for the complex logarithm). All of these issues were within my power to fix but I was dissappointed that I had to spend that much time on it.

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Great Book

Review by dionjuan2004, 2009-09-17

Starting from the very basics (Newton Raphson, Ordinary Least Squares etc.), this book covers pretty much everything about option pricing including Heston's Stochastic Volatility model! The code is easy to understand and it actually works. Every chapter has practice problems at the end, and the best part is - the book also has solutions to them! So immediately after reading and executing the code provided on cd, you get to work on problems plus get help from provided solutions if you get stuck.

This is really a practitioner's gold. Dont expect much theory and background about various models. But yes, this book will definitely teach you how to implement them. A must buy. Great work, authors.

Cheers.

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Good practical option pricing book

Review by Alfred Martinez, 2008-11-11

This book is written for practitioners rather than for academics. As such, it contains little proofs, but rather concentrates on providing very clear descriptions of the models and VBA code to implement them. The book is very well thought-out and clearly organized. I was amazed at the contents because there is some very good material in there that I could not find anywhere else.

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Course Text Recommendation

Review by C. Alexander, 2008-10-13

I recommend this book for my Volatility Analysis module (for ICMA Centre MSc in Financial Risk Management and MSC Financial Engineering). It is particularly useful for the Financial Risk Management (FRM) students because, of the 2 groups, these tend to have less background in mathematics and programming. It is useful to have the numerical methods explained together with the option pricing models in one book, and the FRM students really appreciate the VBA code, which ties in very well with some of the practical workshops.

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