Implementing Models of Financial Derivatives
and over one million other books are available for Amazon Kindle .
Learn more
| |||||||||||||||
 Trade In this Item for up to £15.55
Get an extra £5 when you trade in books worth £10 or more until June 30, 2012. Trade in Implementing Models of Financial Derivatives: Object Oriented Applications with VBA (Wiley Finance) for an Amazon.co.uk gift card of up to £15.55, which you can then spend on millions of items across the site. Trade-in values may vary (terms apply). Find more products eligible for trade-in.
|
Frequently Bought Together
Product details
|
More About the Author
Product Description
Product Description
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.
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
Inside This Book
(Learn More)
Tags Customers Associate with This Product(What's this?)Click on a tag to find related items, discussions, and people.
|
What Other Items Do Customers Buy After Viewing This Item?
Customer Reviews
Most Helpful Customer Reviews
1 of 1 people found the following review helpful
Format:Hardcover
I am a quantitative analyst in the City. Nick's book is a good introduction on derivative modelling in VBA, combining his expertise in computational finance, particularly in the area of Monte Carlo simulation.
The book uses fundamental pricing models as example, but is very successful in conveying the idea of different
levels of design. A big selling point is polymophic factory in VBA. It is also a good reference on variance reduction method. It is comprehensive and advanced. In addition, the author provides all the implementations in
the VBA codes in the accompanying CD. This makes the book stand out from its competitors.
I strongly recommend this book to both practitioners and academic researcher. It is a necessary reference for those who are in the area of computational finance.
The book uses fundamental pricing models as example, but is very successful in conveying the idea of different
levels of design. A big selling point is polymophic factory in VBA. It is also a good reference on variance reduction method. It is comprehensive and advanced. In addition, the author provides all the implementations in
the VBA codes in the accompanying CD. This makes the book stand out from its competitors.
I strongly recommend this book to both practitioners and academic researcher. It is a necessary reference for those who are in the area of computational finance.
1 of 1 people found the following review helpful
Format:Hardcover
This book provides such a useful, needed bridge. It bridges the gap between model validation thinking and front office quant thinking. It bridges between theory and Joshi in that it teaches OOP specific to the domain of financial models, in a way which complements Joshi's Design Patterns very well. What it loses in OOP by choosing VBA it gains tremendously in pedagogy. The maths covered also sits nicely between theory and engineering, e.g. covering calibration, Longstaff-Schwartz, variance reduction techniques, and even Heston dynamics. A pleasure to read, too. Highly recommended!
1 of 1 people found the following review helpful
Format:Hardcover
I never thought I'd like a book that had so much on Monte Carlo simulation and Object-Oriented programming; as a mere level 1 programmer with my basic procedural code, I can but aspire to Nick's level 6 with design patterns - but his emphasis on detailed timing comparisons concerning arithmetic operations, data typing (variants are evil) and programming levels is valuable and unique information; to this is added a comprehensive treasure trove of Monte Carlo methods including low-discrepancy sequences, least-squares Longstaff-Schwartz and predictor-corrector; an essential reference for serious quants - I've just bought four more copies to give as prizes to my students
Would you like to see more reviews about this item?
Was this review helpful?
Let us know
Listmania!
Look for similar items by category
Look for similar items by subject
Feedback
- Would you like to update product info or give feedback on images?
- I am the Author, and I want to comment on my book.
- I am the Publisher, and I want to comment on this book.
|
