| | |  | Computer Security | Home » » Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) | | | | | | | Product Promotions: | | | | | 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 | | | Product Details: | | | Author:
| Fabrice Douglas Rouah | | Paperback:
| 441 pages | | Publisher:
| Wiley | | Publication Date:
| April 13, 2007 | | Language:
| English | | ISBN:
| 0471794643 | | Product Length:
| 9.16 inches | | Product Width:
| 7.59 inches | | Product Height:
| 0.94 inches | | Product Weight:
| 1.71 pounds | | Package Length:
| 9.1 inches | | Package Width:
| 7.5 inches | | Package Height:
| 1.0 inches | | Package Weight:
| 1.7 pounds | | Average Customer Rating:
|  based on 21 reviews |
| | | | Customer Reviews: | |
Average Customer Review:
 ( 21 customer reviews )
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Most Helpful Customer Reviews
10 of 12 found the following review helpful:
 software implementation guide for OptionsMay 03, 2007
By Srinivas potula
"apo"
This book explains how to implement option pricing models using Excel-VBA. This is the best book for any software engineer who wants to become a financial engineer. This book is for car mechanics not for users who just want to get "Oil Change".
12 of 15 found the following review helpful:
 Pretty Good BookMay 21, 2007
By C. Ang
"cliff_ang"
Options and Volatility are fairly technical subjects. Anyone expecting to read this book should know what they are getting themselves into. The background on the different models are presented, but the reader should be familiar with some of the material or should have a decent mathematical background. This book doesn't waste time with too much background material, and jumps straight to the model/code format. The VBA part is pretty straight-forward and I think the code is presented pretty well. Prior to this book, I would never have thought to program options or volatility codes in VBA as there are other more sophisticated programs that can be used (e.g. MATLAB). However, VBA comes with Excel, which every person probably has. In that light, programming these models in VBA will make it more accessible to a wider audience and the reader can learn tricks that can be applied to other modeling tasks.
14 of 18 found the following review helpful:
Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)May 16, 2007
The book is filled with cases written in Excel-VBA languages for computing volatility on all its forms, what is not often seen in the quantitative finance literature. To my knowledge, there is almost no other book that shows and describes how to calibrate stochastic models. This book is a must to anyone interested in quantitative finance.
Pr. François-Éric Racicot, Ph.D.
Professor of quantitative finance
Department of Business Administration
University of Quebec - Outaouais (UQO)
10 of 13 found the following review helpful:
 code not professional enoughMay 02, 2008
By renium
"chess_player"
I dont know whether the provided VBA code can be
trusted.
Within the very first example (complex numbers)
from the CD of the book, I found an annoying error.
The provided function gives a plain 4 as the square root of -16,
but all mathematicians know, it should be 4i.
They forgot to add the correct angle to the geometric
representation of complex numbers within the code.
Whats the value of a book with basic omissions ?
I'm really sorry.
3 of 3 found the following review helpful:
 Happiness is reality vs expectation.Feb 23, 2010
By B. Manistre
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.
See all 21 customer reviews on Amazon.com
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