Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) | 
 enlarge | Authors: Fabrice Douglas Rouah, Gregory Vainberg
Publisher: Wiley
Category: Book
List Price: $100.00
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Rating:  14 reviews
Sales Rank: 121869
Media: Paperback
Pages: 441
Number Of Items: 1
Shipping Weight (lbs): 1.7
Dimensions (in): 9.1 x 7.5 x 1
ISBN: 0471794643
Dewey Decimal Number: 332.6453
EAN: 9780471794646
ASIN: 0471794643
Publication Date: April 13, 2007
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Product Description
Praise for Option Pricing Models & Volatility Using Excel-VBA
"Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers."
--Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University
"This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library."
--Espen Gaarder Haug, option trader, philosopher, nd author of Derivatives Models on Models
"I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH."
--Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
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| Customer Reviews: Read 9 more reviews...
 A staple in my cubicle July 22, 2008
Michael Wencis
This book fills a large gap because it provides a practical way to implement option pricing models. I therefore have to agree with most of these posts: the book is well written, clearly explained, and light on theory. There's a lot of good stuff in there, so I like it a lot and find it very useful. I especially like the Greeks for the Heston and Heston & Nandi models. I had not seen these in closed form before buying this book.
Good Contents, Good Writing, Bad VBA Codes July 21, 2008
Youngzheng Lang (new york, usa)
An Overall good book with contents that are not covered by other books.
I found it very helpful to go though the math concepts and code practices.
However a new edition is seriously needed to correct all the bugs & errors in the book, The VBA codes provided has many bugs and omissions, which can confuse some begining VBA users.
 code not professional enough May 2, 2008
renium (Muenchen)
2 out of 2 found this review helpful
I dont know whether the provided VBA code can be
trusted.
Within the very first example (complex numbers)
from the CD of the book, I found an annoying error.
The provided function gives a plain 4 as the square root of -16,
but all mathematicians know, it should be 4i.
They forgot to add the correct angle to the geometric
representation of complex numbers within the code.
Whats the value of a book with basic omissions ?
I'm really sorry.
Humayun Ali February 17, 2008
Humayun Riyasat (Boston,MA USA)
1 out of 1 found this review helpful
Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers.
Great book for introducing stochastic-volatility models to a novice like me January 20, 2008
C. Yang (Shanghai, CHN)
3 out of 3 found this review helpful
I was a bit panic about choosing an appropriate topic for my master research essay in the area of option pricing. When I read half way through the book, I found what I wanted. The book introduces the continuous-time Heston SV model and the discrete-time Heston-Nandi SV model. The book also includes some codes for implementation and estimation methodologies for different option pricing models. However, as the book emphasises the limitation of vba -- you cannot apply complex estimation methods, e.g. non-linear estimation methods such as non-linear least squares method, to estimate the parameters of those stochastic volatility models. So if you want to apply those models to real market data, you should implement the models via MATLAB or other languages such as C++, JAVA. N.B. MATLAB codes for sv models can be easily obtained online.
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