Option pricing models and volatility using Excel-VBA / / Fabrice Douglas Rouah, Gregory Vainberg

• Autore: Rouah Fabrice <1964->
• Pubblicazione: Hoboken, N.J., : John Wiley & Sons, c2007
• Descrizione fisica: 1 online resource (457 p.)
• Disciplina: 332.6453
• Soggetto topico: Options (Finance) - Prices; Capital investments - Evaluation - Mathematical models; Options (Finance) - Mathematical models
• Altri autori: VainbergGregory <1978->
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references (p. 409-412) and index.
• Nota di contenuto: Mathematical 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.
• Sommario/riassunto: 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 m
• Titolo autorizzato: Option pricing models and volatility using Excel-VBA
• ISBN: 9786610827138; 9781118429204; 1118429206; 9781119202097; 1119202094; 9781280827136; 1280827130; 9780470125755; 0470125756
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9911020361003321
• Lo trovi qui: Univ. Federico II
• Serie: Wiley finance series.