This comprehensive guide offers traders, quants, and students
the tools and techniques for using advanced models for pricing
options. The accompanying website includes data files, such as
options prices, stock prices, or index prices, as well as all of
the codes needed to use the option and volatility models described
in the book.
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, Mc Gill 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, and
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
Jadual kandungan
Preface ix
Chapter 1 Mathematical Preliminaries 1
Chapter 2 Numerical Integration 39
Chapter 3 Tree-Based Methods 70
Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models 112
Chapter 5 The Heston (1993) Stochastic Volatility Model 136
Chapter 6 The Heston and Nandi (2000) GARCH Model 163
Chapter 7 The Greeks 187
Chapter 8 Exotic Options 230
Chapter 9 Parameter Estimation 275
Chapter 10 Implied Volatility 304
Chapter 11 Model-Free Implied Volatility 322
Chapter 12 Model-Free Higher Moments 350
Chapter 13 Volatility Returns 374
Appendix a A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419
Mengenai Pengarang
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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