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"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, and 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
Gregory Vainberg is a Corporate Risk Specialist at a large consulting firm in Montreal. He is also the creator of the top finance and math VBA Web site, www.vbnumericalmethods.com.
I bought this book when it was released in 2007. It is 3 years old and falling apart - not because it was badly put together but because I use it so frequently. Read morePublished on January 18, 2011 by Antonie Kotze (PhD)
Starting from the very basics (Newton Raphson, Ordinary Least Squares etc.), this book covers pretty much everything about option pricing including Heston's Stochastic Volatility... Read morePublished on September 17, 2009 by dionjuan2004
This book is written for practitioners rather than for academics. As such, it contains little proofs, but rather concentrates on providing very clear descriptions of the models... Read morePublished on November 11, 2008 by Alfred Martinez
This book fills a large gap because it provides a practical way to implement option pricing models. I therefore have to agree with most of these posts: the book is well written,... Read morePublished on July 22, 2008 by Michael Wencis
An Overall good book with contents that are not covered by other books.
I found it very helpful to go though the math concepts and code practices. Read more
I dont know whether the provided VBA code can be
Within the very first example (complex numbers)
from the CD of the book, I found an annoying error. Read more
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... Read morePublished on February 17, 2008 by Humayun Riyasat