Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) [Paperback]

Fabrice Douglas Rouah (Author), Gregory Vainberg (Author)

Book Description

Publication Date: April 13, 2007 | ISBN-10: 0471794643 | ISBN-13: 978-0471794646

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

Editorial Reviews

From the Back Cover

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

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.

Product Details

• Paperback: 441 pages
• Publisher: Wiley (April 13, 2007)
• Language: English
• ISBN-10: 0471794643
• ISBN-13: 978-0471794646
• Product Dimensions: 9.2 x 7.6 x 0.9 inches
• Shipping Weight: 1.7 pounds (View shipping rates and policies)
• Average Customer Review: 4.3 out of 5 stars  See all reviews (21 customer reviews)
• Amazon Best Sellers Rank: #116,610 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

10 of 12 people found the following review helpful:

5.0 out of 5 stars software implementation guide for Options, May 3, 2007

By 

Srinivas potula "apo" (Chicago, IL) - See all my reviews
(REAL NAME)   

This review is from: Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) (Paperback)

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 people found the following review helpful:

4.0 out of 5 stars Pretty Good Book, May 20, 2007

By 

C. Ang "cliff_ang" (Chicago, IL) - See all my reviews
(VINE VOICE)    (REAL NAME)   

This review is from: Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) (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.

14 of 18 people found the following review helpful:

5.0 out of 5 stars Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance), May 16, 2007

A Kid's Review

This review is from: Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) (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)