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Option Pricing Models and Volatility Using Excel-VBA Paperback – April 13, 2007

ISBN-13: 978-0471794646 ISBN-10: 0471794643 Edition: 1st

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Option Pricing Models and Volatility Using Excel-VBA + The Complete Guide to Option Pricing Formulas + The Volatility Surface: A Practitioner's Guide
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Product Details

  • Paperback: 441 pages
  • Publisher: Wiley; 1 edition (April 13, 2007)
  • Language: English
  • ISBN-10: 0471794643
  • ISBN-13: 978-0471794646
  • Product Dimensions: 9.1 x 7.5 x 0.8 inches
  • Shipping Weight: 1.7 pounds (View shipping rates and policies)
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (20 customer reviews)
  • Amazon Best Sellers Rank: #916,715 in Books (See Top 100 in Books)

Editorial Reviews

From the Back Cover

This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book.

"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

About the Author

Fabrice Douglas Rouah is a Senior Quantitative Analyst at a large financial firm in Boston. He is coauthor and coeditor of four books on hedge funds and CTAs. This is his third book with John Wiley & Sons.

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.


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Customer Reviews

4.2 out of 5 stars
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The book is very well written, clearly explained, and easy tounderstand.
Robert S. Posman
I recommend this book for my Volatility Analysis module (for ICMA Centre MSc in Financial Risk Management and MSC Financial Engineering).
C. Alexander
The book also includes some codes for implementation and estimation methodologies for different option pricing models.
Dr. Y

Most Helpful Customer Reviews

6 of 6 people found the following review helpful By C. Alexander on October 13, 2008
Format: Paperback
I recommend this book for my Volatility Analysis module (for ICMA Centre MSc in Financial Risk Management and MSC Financial Engineering). It is particularly useful for the Financial Risk Management (FRM) students because, of the 2 groups, these tend to have less background in mathematics and programming. It is useful to have the numerical methods explained together with the option pricing models in one book, and the FRM students really appreciate the VBA code, which ties in very well with some of the practical workshops.
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14 of 17 people found the following review helpful By C. Ang VINE VOICE on May 20, 2007
Format: Paperback
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.
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8 of 9 people found the following review helpful By B. Manistre on February 23, 2010
Format: Paperback
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.
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5 of 5 people found the following review helpful By Alberto Dominguez on December 21, 2010
Format: Paperback Verified Purchase
The book does a competent (although not outstanding) job covering option pricing models as well as volatility models like GARCH and the Heston Volatility Model. However, the code examples are incredibly sloppy. As just one example, look at the second function on page 16. It declares four variables that are never used in the function, while other variables are used without declaration. The use of arrays does not conform to accepted VBA practice. While none of these is an actual error, it illustrates the severe sloppiness of the code. In other places (some of which have been pointed out by other reviewers), it does result in errors. I found myself rewriting almost all the code. It is, however, to the book's credit that between the text and the code illustrations, it is possible to figure out what to do if you're a VBA programmer.
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15 of 19 people found the following review helpful A Kid's Review on May 16, 2007
Format: Paperback
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)
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5 of 6 people found the following review helpful By Dr. Y on January 19, 2008
Format: Paperback
I was a bit panic about choosing an appropriate topic for my master research essay in the area of option pricing. When I read half way through the book, I found what I wanted. The book introduces the continuous-time Heston SV model and the discrete-time Heston-Nandi SV model. The book also includes some codes for implementation and estimation methodologies for different option pricing models. However, as the book emphasises the limitation of vba -- you cannot apply complex estimation methods, e.g. non-linear estimation methods such as non-linear least squares method, to estimate the parameters of those stochastic volatility models. So if you want to apply those models to real market data, you should implement the models via MATLAB or other languages such as C++, JAVA. N.B. MATLAB codes for sv models can be easily obtained online.
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2 of 2 people found the following review helpful By JS on March 7, 2010
Format: Paperback Verified Purchase
This is a great book to own. I'm doing trading job on the street and also need to build models all the time. I was looking for a handy book explaining how to build some models using Excel VBA. And this is the only book I found in the market which exactly fits my needs. The model building methodologies are clear and advanced, code is very applicable, not hard to understand and implement yourself. The most important, the models author introduced in the book are very useful and exactly what we need to build and use in my job. So generally, it's a must-have book if you're working on the trading floor or need to build models using VBA. BTW, the book omits some codes (as some reviewer points out), but don't worry, all the completed codes can be found in the disk. So it's not a problem if you use the disk.
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