Book description
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 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.
