Implementing models of financial derivatives : object oriented applications with VBA /

• Main Author: Webber, Nick
• Format: eBook
• Language: English
• Published: Chichester, U.K. : Wiley, 2011.
• Series: Wiley finance series.
• Subjects: Microsoft Visual Basic for applications.; Derivative securities > Mathematical models.; BUSINESS & ECONOMICS > Investments & Securities > General.; Electronic books.

"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...

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.