Implementing models of financial derivatives: object oriented applications with VBA / Nick Webber.
2011
HG6024.A3 W43 2011
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Details
Title
Implementing models of financial derivatives: object oriented applications with VBA / Nick Webber.
Author
Webber, Nick.
ISBN
9780470661734
9780470661840
9780470712207
9780470662519 (electronic bk.)
9780470661840
9780470712207
9780470662519 (electronic bk.)
Imprint
Chichester, U.K. : Wiley, 2011.
Language
English
Description
xvii, 674 p. : ill.
Call Number
HG6024.A3 W43 2011
Dewey Decimal Classification
332.64/570285543
Summary
"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"-- Provided by publisher.
"This book teaches students and non-quant practitioners numerics and the design of a powerful pricing tool in VBA"-- Provided by publisher.
"This book teaches students and non-quant practitioners numerics and the design of a powerful pricing tool in VBA"-- Provided by publisher.
Bibliography, etc. Note
Includes bibliographical references and indexes.
Access Note
Access limited to authorized users.
Series
Wiley finance series.
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Table of Contents
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.
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.