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001 ocn898756996
003 OCoLC
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006 m o d
007 cr |||||||||||
008 141224s2015 enk ob 001 0 eng
010 _a 2014049792
040 _aDLC
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019 _a902417444
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020 _a9781118961988
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020 _a1118961986
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020 _a9781118961995
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020 _a1118961994
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020 _a9781119065838
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020 _a1119065836
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020 _a1118962001
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020 _a9781118962008
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020 _z9781118962008
_q(hardback)
020 _a9781322877082
020 _a1322877084
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035 _a(OCoLC)898756996
_z(OCoLC)902417444
_z(OCoLC)914287634
_z(OCoLC)927376388
_z(OCoLC)961646639
_z(OCoLC)962625206
037 _aCL0500000619
_bSafari Books Online
037 _a2DF5EFB5-98E1-4235-BA0C-B82F12FBF0EC
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_nhttp://www.overdrive.com
042 _apcc
050 0 0 _aHG106
072 7 _aBUS
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082 0 0 _a332.0285/5133
_223
084 _aBUS027000
_2bisacsh
049 _aMAIN
100 1 _aGoossens, Francois,
_d1960-
245 1 0 _aHow to implement market models using VBA /
_cFrancois Goossens.
264 1 _aChicester, West Sussex UK :
_bJohn Wiley & Sons, Inc.,
_c2015.
300 _a1 online resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aWiley finance series
500 _aIncludes index.
520 _a"Accessible VBA coding for complex financial modellingImplementing 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 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. Implementing 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, Implementing Market Models Using VBA is an essential introductory guide"--
_cProvided by publisher.
588 0 _aPrint version record and CIP data provided by publisher.
504 _aIncludes bibliographical references and index.
505 0 _aCover; Title Page; Copyright; Contents; Preface; Acknowledgements; Abbreviations; About the Author; Chapter 1 The Basics of VBA Programming; 1.1 Getting started; 1.2 VBA objects and syntax; 1.2.1 The object-oriented basic syntax; 1.2.2 Using objects; 1.3 Variables; 1.3.1 Variable declaration; 1.3.2 Some usual objects; 1.3.3 Arrays; 1.4 Arithmetic; 1.5 Subroutines and functions; 1.5.1 Subroutines; 1.5.2 Functions; 1.5.3 Operations on one-dimensional arrays; 1.5.4 Operations on two-dimensional arrays (matrices); 1.5.5 Operations with dates; 1.6 Custom objects; 1.6.1 Types; 1.6.2 Classes.
505 8 _a1.7 Debugging1.7.1 Error handling; 1.7.2 Tracking the code execution; Chapter 2 Mathematical Algorithms; 2.1 Introduction; 2.2 Sorting lists; 2.2.1 Shell sort; 2.2.2 Quick sort; 2.3 Implicit equations; 2.4 Search for extrema; 2.4.1 The Nelder-Mead algorithm; 2.4.2 The simulated annealing; 2.5 Linear algebra; 2.5.1 Matrix inversion; 2.5.2 Cholesky decomposition; 2.5.3 Interpolation; 2.5.4 Integration; 2.5.5 Principal Component Analysis; Chapter 3 Vanilla Instruments; 3.1 Definitions; 3.2 Fixed income; 3.2.1 Bond market; 3.2.2 Interbank market; 3.3 Vanilla derivatives; 3.3.1 Forward contracts.
505 8 _a3.3.2 Swaps3.3.3 Bond futures; 3.4 Options basics; 3.4.1 Brownian motion; 3.4.2 Ito integral; 3.4.3 Ito formula; 3.4.4 Black-Scholes basic model; 3.4.5 Risk-neutral probability; 3.4.6 Change of probability; 3.4.7 Martingale and numeraires; 3.4.8 European-style options pricing; 3.5 First generation exotic options; 3.5.1 Barrier options; 3.5.2 Quanto options; Chapter 4 Numerical Solutions; 4.1 Finite differences; 4.1.1 Generic equation; 4.1.2 Implementation; 4.2 Trees; 4.2.1 Binomial trees; 4.2.2 Trinomial trees; 4.3 Monte-Carlo scenarios; 4.3.1 Uniform number generator.
505 8 _a4.3.2 From uniform to Gaussian numbers4.4 Simulation and regression; 4.5 Double-barrier analytical approximation; Chapter 5 Monte-Carlo Pricing Issues; 5.1 Multi-asset simulation; 5.1.1 The correlations issue; 5.1.2 The Gaussian case; 5.1.3 Exotics; 5.2 Discretization schemes; 5.3 Variance reduction techniques; 5.3.1 Antithetic variates; 5.3.2 Importance sampling; 5.3.3 Control variates; Chapter 6 Yield Curve Models; 6.1 Short rate models; 6.1.1 Introduction; 6.1.2 Hull and White one-factor model; 6.1.3 Gaussian two-factor model; 6.1.4 Hull and White two-factor model; 6.2 Forward rate models.
505 8 _a6.2.1 Generic Heath-Jarrow-Morton6.2.2 LMM (LIBOR market model); Chapter 7 Stochastic Volatilities; 7.1 The Heston model; 7.1.1 Code; 7.1.2 A faster algorithm; 7.1.3 Calibration; 7.2 Barrier options; 7.2.1 Numerical results; 7.2.2 Code; 7.3 Asian-style options; 7.4 SABR model; 7.4.1 Caplets; 7.4.2 Code; Chapter 8 Interest Rate Exotics; 8.1 CMS swaps; 8.1.1 Code; 8.2 Cancelable swaps; 8.2.1 Code; 8.2.2 Tree approximation; 8.3 Target redemption note; 8.3.1 Code; Bibliography; Index; EULA.
650 0 _aFinance
_xMathematical models
_xComputer programs.
650 0 _aVisual Basic for Applications (Computer program language)
650 7 _aBUSINESS & ECONOMICS
_xFinance.
_2bisacsh
650 7 _aFinance
_xMathematical models
_xComputer programs.
_2fast
_0(OCoLC)fst00924399
650 7 _aVisual Basic for Applications (Computer program language)
_2fast
_0(OCoLC)fst01910316
655 4 _aElectronic books.
776 0 8 _iPrint version:
_aGoossens, Francois, 1960-
_tHow to implement market models using VBA.
_dWest Sussex : John Wiley & Sons, Inc., 2015
_z9781118962008
_w(DLC) 2014041091
830 0 _aWiley finance series.
856 4 0 _uhttp://dx.doi.org/10.1002/9781119065838
_zWiley Online Library
994 _a92
_bDG1
999 _c18418
_d18377
526 _bfin