Muutke küpsiste eelistusi

E-raamat: How to Implement Market Models Using VBA [Wiley Online]

  • Formaat: 320 pages
  • Sari: The Wiley Finance Series
  • Ilmumisaeg: 13-Feb-2015
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 1119065836
  • ISBN-13: 9781119065838
Teised raamatud teemal:
  • Wiley Online
  • Hind: 105,73 €*
  • * hind, mis tagab piiramatu üheaegsete kasutajate arvuga ligipääsu piiramatuks ajaks
How to Implement Market Models Using VBASuurem pilt
  • Formaat: 320 pages
  • Sari: The Wiley Finance Series
  • Ilmumisaeg: 13-Feb-2015
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 1119065836
  • ISBN-13: 9781119065838
Teised raamatud teemal:
Wiley Online e-raamatudRohkem infot Wiley Online kohta
Raamatu kodulehekülg: https://onlinelibrary.wiley.com/doi/book/10.1002/9781119065838
Accessible VBA coding for complex financial modelling How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. With a focus on the clarity of code, this practical introductory guide includes chapters on VBA fundamentals and essential mathematical techniques, helping readers master the numerical methods to build an algorithm that can be used in a wide range of pricing problems. Coverage includes general algorithms, vanilla instruments, multi-asset instruments, yield curve models, interest rate exotics, and more, guiding readers thoroughly through pricing in the capital markets area. The companion website (http://implementmodinvba.com/) features additional VBA code and algorithmic techniques, and the interactive blog provides a forum for discussion of code with programmers and financial engineers, giving readers insight into the different applications and customisations possible for even more advanced problem solving..

Financial engineers implement models from a mathematical representation of an asset's performance by building a program that performs a valuation of securities based on this asset. How to Implement Market Models Using VBA makes this technical process understandable, with well-explained algorithms, VBA code, and accessible theoretical explanations.





Decide which numerical method to use in which scenario Identify the necessary building blocks of an algorithm Write clear, functional VBA code for a variety of problems Apply algorithms to different instruments and models

Designed for finance professionals, this book brings more accurate modelling within reach for anyone with interest in the market. For clearer code, patient explanation, and practical instruction, How to Implement Market Models Using VBA is an essential introductory guide.
Preface ix
Acknowledgements xi
Abbreviations xiii
About the Author xv
Chapter 1 The Basics of VBA Programming
1(27)
1.1 Getting started
1(1)
1.2 VBA objects and syntax
2(3)
1.2.1 The object-oriented basic syntax
3(1)
1.2.2 Using objects
3(2)
1.3 Variables
5(5)
1.3.1 Variable declaration
5(2)
1.3.2 Some usual objects
7(2)
1.3.3 Arrays
9(1)
1.4 Arithmetic
10(3)
1.5 Subroutines and functions
13(8)
1.5.1 Subroutines
14(1)
1.5.2 Functions
15(1)
1.5.3 Operations on one-dimensional arrays
16(1)
1.5.4 Operations on two-dimensional arrays (matrices)
16(3)
1.5.5 Operations with dates
19(2)
1.6 Custom objects
21(3)
1.6.1 Types
21(1)
1.6.2 Classes
22(2)
1.7 Debugging
24(4)
1.7.1 Error handling
24(1)
1.7.2 Tracking the code execution
25(3)
Chapter 2 Mathematical Algorithms
28(39)
2.1 Introduction
29(1)
2.2 Sorting lists
29(5)
2.2.1 Shell sort
29(3)
2.2.2 Quick sort
32(2)
2.3 Implicit equations
34
2.4 Search for extrema
3(40)
2.4.1 The Nelder-Mead algorithm
36(4)
2.4.2 The simulated annealing
40(3)
2.5 Linear algebra
43(24)
2.5.1 Matrix inversion
44(2)
2.5.2 Cholesky decomposition
46(2)
2.5.3 Interpolation
48(9)
2.5.4 Integration
57(3)
2.5.5 Principal Component Analysis
60(7)
Chapter 3 Vanilla Instruments
67(38)
3.1 Definitions
67(1)
3.2 Fixed income
67(8)
3.2.1 Bond market
68(4)
3.2.2 Interbank market
72(3)
3.3 Vanilla derivatives
75(9)
3.3.1 Forward contracts
75(2)
3.3.2 Swaps
77(4)
3.3.3 Bond futures
81(3)
3.4 Options basics
84(11)
3.4.1 Brownian motion
84(1)
3.4.2 Ito integral
85(1)
3.4.3 Ito formula
86(3)
3.4.4 Black--Scholes basic model
89(1)
3.4.5 Risk-neutral probability
90(1)
3.4.6 Change of probability
90(2)
3.4.7 Martingale and numeraires
92(2)
3.4.8 European-style options pricing
94(1)
3.5 First generation exotic options
95(10)
3.5.1 Barrier options
95(7)
3.5.2 Quanto options
102(3)
Chapter 4 Numerical Solutions
105(34)
4.1 Finite differences
105(7)
4.1.1 Generic equation
105(1)
4.1.2 Implementation
106(6)
4.2 Trees
112(4)
4.2.1 Binomial trees
112(4)
4.2.2 Trinomial trees
116(1)
4.3 Monte-Carlo scenarios
116(13)
4.3.1 Uniform number generator
117(10)
4.3.2 From uniform to Gaussian numbers
127(2)
4.4 Simulation and regression
129(5)
4.5 Double-barrier analytical approximation
134(5)
Chapter 5 Monte-Carlo Pricing Issues
139(24)
5.1 Multi-asset simulation
139(7)
5.1.1 The correlations issue
139(1)
5.1.2 The Gaussian case
139(4)
5.1.3 Exotics
143(3)
5.2 Discretization schemes
146(1)
5.3 Variance reduction techniques
147(16)
5.3.1 Antithetic variates
147(1)
5.3.2 Importance sampling
148(5)
5.3.3 Control variates
153(10)
Chapter 6 Yield Curve Models
163(70)
6.1 Short rate models
163(41)
6.1.1 Introduction
163(1)
6.1.2 Hull and White one-factor model
164(16)
6.1.3 Gaussian two-factor model
180(23)
6.1.4 Hull and White two-factor model
203(1)
6.2 Forward rate models
204(29)
6.2.1 Generic Heath-Jarrow-Morton
205(11)
6.2.2 LMM (LIBOR market model)
216(17)
Chapter 7 Stochastic Volatilities
233(34)
7.1 The Heston model
234(10)
7.1.1 Code
234(5)
7.1.2 A faster algorithm
239(9)
7.1.3 Calibration
248
7.2 Barrier options
244(16)
7.2.1 Numerical results
257(1)
7.2.2 Code
257(3)
7.3 Asian-style options
260(4)
7.4 SABR model
264(3)
7.4.1 Caplets
264(1)
7.4.2 Code
265(2)
Chapter 8 Interest Rate Exotics
267(20)
8.1 CMS swaps
267(5)
8.1.1 Code
269(3)
8.2 Cancelable swaps
272(9)
8.2.1 Code
272(4)
8.2.2 Tree approximation
276(5)
8.3 Target redemption note
281(6)
8.3.1 Code
282(5)
Bibliography 287(2)
Index 289
FRANÇOIS GOOSSENS has 12 years experience of programming pricing algorithms in Java and VBA. As a consultant, he currently trains students and young practitioners in computational finance through VBA coding.

Prior to that, over a 15 year periodv he ran interest-rates and equity related trading desks with Credit Lyonnais and Ixis whilst strongly involved in exotic derivatives management. François graduated from Ecole Centrale in Paris.
Püsilink: https://www.kriso.ee/db/9781119065838_pe.html
Märksõnad: