Customer Reviews

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

5 star:		(14)
4 star:		(3)
3 star:		(2)
2 star:		(0)
1 star:		(2)

 

 

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".

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.

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)

I dont know whether the provided VBA code can be
trusted.
Within the very first example (complex numbers)
from the CD of the book, I found an annoying error.
The provided function gives a plain 4 as the square root of -16,
but all mathematicians know, it should be 4i.
They forgot to add the correct angle to the geometric
representation of complex numbers within the code.
Whats the value of a book with basic omissions ?
I'm really sorry.

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.

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.

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.

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.
However a new edition is seriously needed to correct all the bugs & errors in the book, The VBA codes provided has many bugs and omissions, which can confuse some begining VBA users.

I did an Excel-VBA course on Option and Volatility models last year. The cource was pretty good (and expensive). After having read this book, I think I could have saved approx. $ 1150 when this book would have been available back then. However, don't be fooled, this is not "Excel-VBA for dummies".

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.