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010   $a9786610827138
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035   $a(PQKBTitleCode)TC0000215809
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100   $a20060922d2007      uy         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aOption pricing models and volatility using Excel-VBA /$fFabrice Douglas Rouah, Gregory Vainberg
210   $aHoboken, N.J. $cJohn Wiley & Sons$dc2007
215   $a1 online resource (457 p.)
225 1 $aWiley finance
300   $aDescription based upon print version of record.
311 08$a9780471794646 
311 08$a0471794643 
320   $aIncludes bibliographical references (p. 409-412) and index.
327   $aMathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
330   $aPraise for Option Pricing Models & Volatility Using Excel-VBA""Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers.""--Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University""This book is filled with methodology and techniques on how to implement option pricing and volatility m
410  0$aWiley finance series.
606   $aOptions (Finance)$xPrices
606   $aCapital investments$xEvaluation$xMathematical models
606   $aOptions (Finance)$xMathematical models
615  0$aOptions (Finance)$xPrices.
615  0$aCapital investments$xEvaluation$xMathematical models.
615  0$aOptions (Finance)$xMathematical models.
676   $a332.6453
700   $aRouah$b Fabrice$f1964-$0889236
701   $aVainberg$b Gregory$f1978-$01841752
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9911020361003321
996   $aOption pricing models and volatility using Excel-VBA$94421592
997   $aUNINA