How to Implement Market Models Using VBA (The Wiley Finance Series) - Hardcover

Goossens, Francois

Hardcover

ISBN 10: 1118962001 ISBN 13: 9781118962008

Publisher: Wiley, 2015

Synopsis

Accessible VBA coding for complex financial modelling

How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. With a focus on the clarity of code, this practical introductory guide includes chapters on VBA fundamentals and essential mathematical techniques, helping readers master the numerical methods to build an algorithm that can be used in a wide range of pricing problems. Coverage includes general algorithms, vanilla instruments, multi-asset instruments, yield curve models, interest rate exotics, and more, guiding readers thoroughly through pricing in the capital markets area. The companion website (http://implementmodinvba.com/) features additional VBA code and algorithmic techniques, and the interactive blog provides a forum for discussion of code with programmers and financial engineers, giving readers insight into the different applications and customisations possible for even more advanced problem solving..

Financial engineers implement models from a mathematical representation of an asset's performance by building a program that performs a valuation of securities based on this asset. How to Implement Market Models Using VBA makes this technical process understandable, with well-explained algorithms, VBA code, and accessible theoretical explanations.

• Decide which numerical method to use in which scenario
• Identify the necessary building blocks of an algorithm
• Write clear, functional VBA code for a variety of problems
• Apply algorithms to different instruments and models

Designed for finance professionals, this book brings more accurate modelling within reach for anyone with interest in the market. For clearer code, patient explanation, and practical instruction, How to Implement Market Models Using VBA is an essential introductory guide.

About this title

About the Author

FRANÇOIS GOOSSENS has 12 years’ experience of programming pricing algorithms in Java and VBA. As a consultant, he currently trains students and young practitioners in computational finance through VBA coding.

Prior to that, over a 15 year periodv he ran interest-rates and equity related trading desks with Credit Lyonnais and Ixis whilst strongly involved in exotic derivatives’ management. François graduated from Ecole Centrale in Paris.

From the Back Cover

How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. Practitioners can gain hands-on expertise of complex valuation issues with an easy-to-learn programming language, whilst avoiding getting too deeply involved in the theory. Author and VBA trainer, François Goossens draws on VBA programming with its accessible code that connects with Excel’s easy-to-use spreadsheet format. VBA is an efficient tool to gain fast and in-depth understanding of complex derivatives.

Designed to be an approachable resource with no prior knowledge of VBA required, this practical introductory guide includes information on VBA fundamentals and essential mathematical techniques. The text helps to master the numerical methods to build an algorithm that can be used to solve a wide range of pricing problems.

How to Implement Market Models Using VBA contains information on general algorithms, vanilla instruments, multi-asset instruments, yield curve models, interest rate exotics, and more. The author offers practitioners the opportunity to check their knowledge of Capital Market fundamentals. For VBA novices, he provides training exercises to put VBA techniques, such as loops, into practice. The text deals with numerical solutions that are called for when no analytical solution is available: simply put, it fixes 99% of problems.

Goossens reviews classes of assets that are valued using Monte-Carlo simulation methods and covers multi-asset and path-dependent instruments. The text explores variance reduction techniques and addresses widely used yield curve models and critical calibration issues. The author also includes information on the Hull & White and Gaussian short rate models, Heath-Jarrow-Morton, and Libor Market forward rates curve models.

Heston’s popular standard stochastic volatility model is presented in detail and includes recipes to help tackle exotic pricings. Finally, the author outlines the curve modellings that are applied in order to implement numerical algorithms aimed at some standard interest rates’ exotics such as CMS Swaps, Cancelable Swaps and Target Redemption Notes. The solutions derived from different models or numerical methods are compared.

Written for finance professionals, How to Implement Market Models Using VBA brings more accurate modelling within reach of anyone with an interest in the market. For clearer code, patient explanation, and practical instruction, this important resource is an essential introductory guide.

From the Inside Flap

How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. Practitioners can gain hands-on expertise of complex valuation issues with an easy-to-learn programming language, whilst avoiding getting too deeply involved in the theory. Author and VBA trainer, François Goossens draws on VBA programming with its accessible code that connects with Excel's easy-to-use spreadsheet format. VBA is an efficient tool to gain fast and in-depth understanding of complex derivatives.

Designed to be an approachable resource with no prior knowledge of VBA required, this practical introductory guide includes information on VBA fundamentals and essential mathematical techniques. The text helps to master the numerical methods to build an algorithm that can be used to solve a wide range of pricing problems.

How to Implement Market Models Using VBA contains information on general algorithms, vanilla instruments, multi-asset instruments, yield curve models, interest rate exotics, and more. The author offers practitioners the opportunity to check their knowledge of Capital Market fundamentals. For VBA novices, he provides training exercises to put VBA techniques, such as loops, into practice. The text deals with numerical solutions that are called for when no analytical solution is available: simply put, it fixes 99% of problems.

Goossens reviews classes of assets that are valued using Monte-Carlo simulation methods and covers multi-asset and path-dependent instruments. The text explores variance reduction techniques and addresses widely used yield curve models and critical calibration issues. The author also includes information on the Hull & White and Gaussian short rate models, Heath-Jarrow-Morton, and Libor Market forward rates curve models.

Heston's popular standard stochastic volatility model is presented in detail and includes recipes to help tackle exotic pricings. Finally, the author outlines the curve modellings that are applied in order to implement numerical algorithms aimed at some standard interest rates' exotics such as CMS Swaps, Cancelable Swaps and Target Redemption Notes. The solutions derived from different models or numerical methods are compared.

Written for finance professionals, How to Implement Market Models Using VBA brings more accurate modelling within reach of anyone with an interest in the market. For clearer code, patient explanation, and practical instruction, this important resource is an essential introductory guide.

Edition details

• Publisher: Wiley
• Publication date: 2015
• Language: English
• ISBN 10: 1118962001
• ISBN 13: 9781118962008
• Binding: Hardcover
• Edition number: 1
• Number of pages: 320