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LEADER 00000cam a2201009 i 4500
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082 00 332.0285/5133
082 00 332.0285/5133|223
099 eBook O'Reilly for Public Libraries
100 1 Goossens, Francois,|d1960-
245 10 How to implement market models using VBA /|cFrancois
Goossens.|h[O'Reilly electronic resource]
264 1 Chicester, West Sussex UK :|bJohn Wiley & Sons, Inc.,
|c2015.
300 1 online resource
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
500 Includes index.
504 Includes bibliographical references and index.
505 0 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.
505 8 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.
505 8 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.
505 8 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.
505 8 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.
520 "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"--|cProvided by publisher.
588 0 Print version record and CIP data provided by publisher.
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
650 0 Finance|xMathematical models|xComputer programs.
650 0 Visual Basic for Applications (Computer program language)
650 6 Finances|xModèles mathématiques|xLogiciels.
650 7 Finance|xMathematical models|xComputer programs|2fast
650 7 Visual Basic for Applications (Computer program language)
|2fast
776 08 |iPrint version:|aGoossens, Francois, 1960-|tHow to
implement market models using VBA.|dWest Sussex : John
Wiley & Sons, Inc., 2015|z9781118962008|w(DLC) 2014041091
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
learning.oreilly.com/library/view/~/9781118961995/?ar
|zAvailable on O'Reilly for Public Libraries
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