Implementing Models of Financial Derivatives, with CD-ROM: Object Oriented Applications with VBA

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9780470712207: Implementing Models of Financial Derivatives, with CD-ROM: Object Oriented Applications with VBA
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Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

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From the Inside Flap:

"Excel VBA is widely used in financial engineering, but many people may not be aware of its true power. This is an absolutely terrific book that exposes the technical deployment into object-oriented VBA of advanced Monte Carlo simulation for pricing financial derivatives, including the most up-to-date algorithms for dealing with stochastic volatility models, early exercise features and variance reduction techniques. The book deserves to be an important and fundamental tool for researchers and graduate students in financial engineering, and practitioners implementing models in industry."
Gianluca Fusai, Professor of Financial Mathematics, SEMeQ, U. degli Studi del Piemonte Orientale

"Comprehensive and carefully written, Webber’s new book is destined to be essential reference for anyone using VBA to price options."
Mark Joshi, Associate Professor, University of Melbourne

"This book by Nick Webber is a well-rounded exposition on the design and implementation of Monte Carlo applications using VBA. What I personally like is the balance between finance, numerical methods, software design and code and these topics make the book stand out and unique. In order to help in the learning process the author takes and incremental and practical approach by producing prototype solutions before progressing to more advanced object-based solutions. Chapters contain exercises that reinforce the reader’s understanding at each step and the source code that accompanies the book makes implementations immediately accessible. This book will give the reader invaluable insights into creating software applications in VBA."
Daniel Duffy, Datasim Financial

About the Author:

Nick Webber learnt to programme with Algol 60 and has been programming ever since. Currently he a Reader at Warwick Business School where, amongst other things, he develops computational methods for the numerical valuation of financial methods although he has also developed fast lattice methods.
Before his academic incarnation Nick worked in system design and implementation in industry, both in IT groups and as a consultant. He has taught computational finance in C++ and VBA for many years, in Universities and to practitioners. He combines a research and theory oriented perspective with a long of experience of real applications. He advocates sensible design precepts at all times.
Nick has a PhD in Theoretical Physics from Imperial College, London

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