Implementing models of financial derivatives
Webber, Nick.
Implementing models of financial derivatives object oriented applications with VBA / [electronic resource] : Nick Webber. - Chichester, U.K. : Wiley, 2011. - xvii, 674 p. : ill. - Wiley finance . - Wiley finance series. .
Includes bibliographical references and indexes.
pt. 1. A procedural Monte Carlo method in VBA -- pt. 2. Objects and polymorphism -- pt. 3. Using files with VBA -- pt. 4. Polymorphic factories in VBA -- pt. 5. Performance issues in VBA -- pt. 6. Variance reduction in the Monte Carlo method -- pt. 7. The Monte Carlo method : convergence and bias -- pt. 8. Valuing American options by simulation.
"A practical, step-by-step introduction to the design of pricing engines with VBA This book teaches students and practitioners the numerics and design of a powerful pricing tool in VBA. It leads the reader through the basics of VBA, from simple procedural code to the advanced design of systems and object-style applications. It also covers Monte Carlo and lattice methods and their implementation in VBA. Full implementation methods and code are provided for all methods discussed, making this an invaluable guide for portfolio managers, risk managers, and fund managers. Nick Webber (Warwick, UK) is a lecturer in finance at Warwick Business School. He specializes in interest rate modeling and computational finance"-- "This book teaches students and non-quant practitioners numerics and the design of a powerful pricing tool in VBA"--
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2011.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
9780470661734 9780470661840 9780470712207 9780470662519 (e-book)
Microsoft Visual Basic for applications.
Derivative securities--Mathematical models.
Electronic books.
HG6024.A3 / W43 2011eb
332.64/570285543
Implementing models of financial derivatives object oriented applications with VBA / [electronic resource] : Nick Webber. - Chichester, U.K. : Wiley, 2011. - xvii, 674 p. : ill. - Wiley finance . - Wiley finance series. .
Includes bibliographical references and indexes.
pt. 1. A procedural Monte Carlo method in VBA -- pt. 2. Objects and polymorphism -- pt. 3. Using files with VBA -- pt. 4. Polymorphic factories in VBA -- pt. 5. Performance issues in VBA -- pt. 6. Variance reduction in the Monte Carlo method -- pt. 7. The Monte Carlo method : convergence and bias -- pt. 8. Valuing American options by simulation.
"A practical, step-by-step introduction to the design of pricing engines with VBA This book teaches students and practitioners the numerics and design of a powerful pricing tool in VBA. It leads the reader through the basics of VBA, from simple procedural code to the advanced design of systems and object-style applications. It also covers Monte Carlo and lattice methods and their implementation in VBA. Full implementation methods and code are provided for all methods discussed, making this an invaluable guide for portfolio managers, risk managers, and fund managers. Nick Webber (Warwick, UK) is a lecturer in finance at Warwick Business School. He specializes in interest rate modeling and computational finance"-- "This book teaches students and non-quant practitioners numerics and the design of a powerful pricing tool in VBA"--
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2011.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
9780470661734 9780470661840 9780470712207 9780470662519 (e-book)
Microsoft Visual Basic for applications.
Derivative securities--Mathematical models.
Electronic books.
HG6024.A3 / W43 2011eb
332.64/570285543