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Implementing Models of Financial Derivatives is a comprehensivetreatment of advanced implementation techniques in VBA for modelsof financial derivatives. Aimed at readers who are already familiarwith the basics of VBA it emphasizes a fully object orientedapproach to valuation applications, chiefly in the context of MonteCarlo simulation but also more broadly for lattice and PDE methods.Its unique approach to valuation, emphasizing effectiveimplementation from both the numerical and the computationalperspectives makes it an invaluable resource. The book comes with alibrary of almost a hundred Excel spreadsheets containingimplementations of all the methods and models it investigates,including a large number of useful utility procedures. Exercisesstructured around four application streams supplement theexposition in each chapter, taking the reader from basic procedurallevel programming up to high level object oriented implementations.Written in eight parts, parts 1-4 emphasize application design inVBA, focused around the development of a plain Monte Carloapplication. Part 5 assesses the performance of VBA for thisapplication, and the final 3 emphasize the implementation of a fastand accurate Monte Carlo method for option valuation. Key topicsinclude: ?Fully polymorphic factories in VBA; ?Polymorphic inputand output using the TextStream and FileSystemObject objects;?Valuing a book of options; ?Detailed assessment of the performanceof VBA data structures; ?Theory, implementation, and comparison ofthe main Monte Carlo variance reduction methods; ?Assessment ofdiscretization methods and their application to option valuation inmodels like CIR and Heston; ?Fast valuation of Bermudan options byMonte Carlo. Fundamental theory and implementations of lattice andPDE methods are presented in appendices and developed through thebook in the exercise streams. Spanning the two worlds of academictheory and industrial practice, this book is not only suitable as aclassroom text in VBA, in simulation methods, and as anintroduction to object oriented design, it is also a reference formodel implementers and quants working alongside derivatives groups.Its implementations are a valuable resource for students, teachersand developers alike. Note: CD-ROM/DVD and other supplementarymaterials are not included as part of eBook file. |
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Correspondents: A Novel
“Murphy artfully connects multiple narratives to produce a sprawling tale of love, family, duty, war, and displacement. It is above all a stinging indictment of the ill-fated war in Iraq and the heavy tolls it continues to exact on its people.”?Khaled Hosseini, author of The Kite Runner
The world ... | | Air Quality Assessment & Management
This book primarily describes how to undertake air quality assessment and management studies at the project level, and
therefore details basic concepts, techniques, methodologies and practices.
The book reviews the principles of air quality assessment and management; primary sources of air pollution; air pollution
effects on... | | Beginning Java ME Platform (Expert's Voice in Open Source)
Have you thought about building games for your cell phone or other wireless devices? Whether you are a first–time wireless Java developer or an experienced professional, Beginning Java™ ME Platform brings exciting wireless and mobile Java application development right to your door and device!
Beginning... |
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