Option Pricing Models and Volatility Using Excel-VBA
-15%
portes grátis
Option Pricing Models and Volatility Using Excel-VBA
Rouah, Fabrice D.; Vainberg, Gregory
John Wiley & Sons Inc
04/2007
464
Mole
Inglês
9780471794646
15 a 20 dias
842
Descrição não disponível.
Preface ix
Chapter 1 Mathematical Preliminaries 1
Chapter 2 Numerical Integration 39
Chapter 3 Tree-Based Methods 70
Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models 112
Chapter 5 The Heston (1993) Stochastic Volatility Model 136
Chapter 6 The Heston and Nandi (2000) GARCH Model 163
Chapter 7 The Greeks 187
Chapter 8 Exotic Options 230
Chapter 9 Parameter Estimation 275
Chapter 10 Implied Volatility 304
Chapter 11 Model-Free Implied Volatility 322
Chapter 12 Model-Free Higher Moments 350
Chapter 13 Volatility Returns 374
Appendix a A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419
Chapter 1 Mathematical Preliminaries 1
Chapter 2 Numerical Integration 39
Chapter 3 Tree-Based Methods 70
Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models 112
Chapter 5 The Heston (1993) Stochastic Volatility Model 136
Chapter 6 The Heston and Nandi (2000) GARCH Model 163
Chapter 7 The Greeks 187
Chapter 8 Exotic Options 230
Chapter 9 Parameter Estimation 275
Chapter 10 Implied Volatility 304
Chapter 11 Model-Free Implied Volatility 322
Chapter 12 Model-Free Higher Moments 350
Chapter 13 Volatility Returns 374
Appendix a A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419
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models; christoffersen; option; finance; professor; desautels faculty; vba; volatility; techniques; book; implement option; indepth; heston; tip; iceberg; library; derivatives; personal; everyone; trader; author; derivatives models
Preface ix
Chapter 1 Mathematical Preliminaries 1
Chapter 2 Numerical Integration 39
Chapter 3 Tree-Based Methods 70
Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models 112
Chapter 5 The Heston (1993) Stochastic Volatility Model 136
Chapter 6 The Heston and Nandi (2000) GARCH Model 163
Chapter 7 The Greeks 187
Chapter 8 Exotic Options 230
Chapter 9 Parameter Estimation 275
Chapter 10 Implied Volatility 304
Chapter 11 Model-Free Implied Volatility 322
Chapter 12 Model-Free Higher Moments 350
Chapter 13 Volatility Returns 374
Appendix a A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419
Chapter 1 Mathematical Preliminaries 1
Chapter 2 Numerical Integration 39
Chapter 3 Tree-Based Methods 70
Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models 112
Chapter 5 The Heston (1993) Stochastic Volatility Model 136
Chapter 6 The Heston and Nandi (2000) GARCH Model 163
Chapter 7 The Greeks 187
Chapter 8 Exotic Options 230
Chapter 9 Parameter Estimation 275
Chapter 10 Implied Volatility 304
Chapter 11 Model-Free Implied Volatility 322
Chapter 12 Model-Free Higher Moments 350
Chapter 13 Volatility Returns 374
Appendix a A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
