07838cam a2200829 i 4500 ocn898756996 OCoLC 20171025132800.0 m o d cr ||||||||||| 141224s2015 enk ob 001 0 eng 2014049792 9781118961988 electronic bk. 1118961986 electronic bk. 9781118961995 electronic bk. 1118961994 electronic bk. 9781119065838 electronic bk. 1119065836 electronic bk. 1118962001 electronic bk. 9781118962008 electronic bk. 9781118962008 (hardback) 9781322877082 1322877084 CHNEW 000708559 CHVBK 334959454 DEBBG BV042743703 DEBBG BV043019860 DEBSZ 431874271 DEBSZ 44947724X NZ1 15914899 DEBSZ 45569429X DEBBG BV043615988 DEBSZ 475038142 DEBBG BV043397401 (OCoLC)898756996 (OCoLC)902417444 (OCoLC)914287634 (OCoLC)927376388 (OCoLC)961646639 (OCoLC)962625206 CL0500000619 Safari Books Online 2DF5EFB5-98E1-4235-BA0C-B82F12FBF0EC OverDrive, Inc. http://www.overdrive.com DLC eng rda pn DLC N$T YDXCP DG1 E7B OCLCF UMI EBLCP IDEBK RECBK HEBIS CDX DEBSZ COO OCLCQ DEBBG OCLCQ TEFOD VT2 K6U pcc MAIN HG106 BUS 027000 bisacsh 332.0285/5133 23 BUS027000 bisacsh Goossens, Francois, 1960- How to implement market models using VBA / Francois Goossens. [electronic resource] Chicester, West Sussex UK : John Wiley & Sons, Inc., 2015. 1 online resource. text txt rdacontent computer c rdamedia online resource cr rdacarrier Wiley finance series Includes index. Includes bibliographical references and index. Cover; Title Page; Copyright; Contents; Preface; Acknowledgements; Abbreviations; About the Author; Chapter 1 The Basics of VBA Programming; 1.1 Getting started; 1.2 VBA objects and syntax; 1.2.1 The object-oriented basic syntax; 1.2.2 Using objects; 1.3 Variables; 1.3.1 Variable declaration; 1.3.2 Some usual objects; 1.3.3 Arrays; 1.4 Arithmetic; 1.5 Subroutines and functions; 1.5.1 Subroutines; 1.5.2 Functions; 1.5.3 Operations on one-dimensional arrays; 1.5.4 Operations on two-dimensional arrays (matrices); 1.5.5 Operations with dates; 1.6 Custom objects; 1.6.1 Types; 1.6.2 Classes. 1.7 Debugging1.7.1 Error handling; 1.7.2 Tracking the code execution; Chapter 2 Mathematical Algorithms; 2.1 Introduction; 2.2 Sorting lists; 2.2.1 Shell sort; 2.2.2 Quick sort; 2.3 Implicit equations; 2.4 Search for extrema; 2.4.1 The Nelder-Mead algorithm; 2.4.2 The simulated annealing; 2.5 Linear algebra; 2.5.1 Matrix inversion; 2.5.2 Cholesky decomposition; 2.5.3 Interpolation; 2.5.4 Integration; 2.5.5 Principal Component Analysis; Chapter 3 Vanilla Instruments; 3.1 Definitions; 3.2 Fixed income; 3.2.1 Bond market; 3.2.2 Interbank market; 3.3 Vanilla derivatives; 3.3.1 Forward contracts. 3.3.2 Swaps3.3.3 Bond futures; 3.4 Options basics; 3.4.1 Brownian motion; 3.4.2 Ito integral; 3.4.3 Ito formula; 3.4.4 Black-Scholes basic model; 3.4.5 Risk-neutral probability; 3.4.6 Change of probability; 3.4.7 Martingale and numeraires; 3.4.8 European-style options pricing; 3.5 First generation exotic options; 3.5.1 Barrier options; 3.5.2 Quanto options; Chapter 4 Numerical Solutions; 4.1 Finite differences; 4.1.1 Generic equation; 4.1.2 Implementation; 4.2 Trees; 4.2.1 Binomial trees; 4.2.2 Trinomial trees; 4.3 Monte-Carlo scenarios; 4.3.1 Uniform number generator. 4.3.2 From uniform to Gaussian numbers4.4 Simulation and regression; 4.5 Double-barrier analytical approximation; Chapter 5 Monte-Carlo Pricing Issues; 5.1 Multi-asset simulation; 5.1.1 The correlations issue; 5.1.2 The Gaussian case; 5.1.3 Exotics; 5.2 Discretization schemes; 5.3 Variance reduction techniques; 5.3.1 Antithetic variates; 5.3.2 Importance sampling; 5.3.3 Control variates; Chapter 6 Yield Curve Models; 6.1 Short rate models; 6.1.1 Introduction; 6.1.2 Hull and White one-factor model; 6.1.3 Gaussian two-factor model; 6.1.4 Hull and White two-factor model; 6.2 Forward rate models. 6.2.1 Generic Heath-Jarrow-Morton6.2.2 LMM (LIBOR market model); Chapter 7 Stochastic Volatilities; 7.1 The Heston model; 7.1.1 Code; 7.1.2 A faster algorithm; 7.1.3 Calibration; 7.2 Barrier options; 7.2.1 Numerical results; 7.2.2 Code; 7.3 Asian-style options; 7.4 SABR model; 7.4.1 Caplets; 7.4.2 Code; Chapter 8 Interest Rate Exotics; 8.1 CMS swaps; 8.1.1 Code; 8.2 Cancelable swaps; 8.2.1 Code; 8.2.2 Tree approximation; 8.3 Target redemption note; 8.3.1 Code; Bibliography; Index; EULA. "Accessible VBA coding for complex financial modellingImplementing 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 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. Implementing 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, Implementing Market Models Using VBA is an essential introductory guide"-- Provided by publisher. Print version record and CIP data provided by publisher. Finance Mathematical models Computer programs. Visual Basic for Applications (Computer program language) BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models Computer programs. fast (OCoLC)fst00924399 Visual Basic for Applications (Computer program language) fast (OCoLC)fst01910316 Electronic books. Print version: Goossens, Francois, 1960- How to implement market models using VBA. West Sussex : John Wiley & Sons, Inc., 2015 9781118962008 (DLC) 2014041091 Wiley finance series. http://onlinelibrary.wiley.com/book/10.1002/9781119065838 Wiley Online Library ddc BK 207810 207810