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How to Implement Market Models Using VBA: The Wiley Finance Series

Autor F Goossens
en Limba Engleză Hardback – 12 feb 2015
Accessible VBA coding for complex financial modelling How to Implement 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 (http://implementmodinvba.com/) 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. How to Implement 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, How to Implement Market Models Using VBA is an essential introductory guide.
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Specificații

ISBN-13: 9781118962008
ISBN-10: 1118962001
Pagini: 312
Dimensiuni: 170 x 244 x 19 mm
Greutate: 0.69 kg
Editura: Wiley
Seria The Wiley Finance Series

Locul publicării:Chichester, United Kingdom

Public țintă

Primary Market:
Job Title: Financial engineers / Department: Front–office / Industries: Banks / Areas of Responsibility: Pricing, structuring, launching new products / Motivation: To price and rapidly test new structures.
Job Title: Risk controllers / Department: Middle–office / Industries: Banks / Areas of Responsibility: Risk assessment (through scenarios) / Motivation: To address concerns over risk scenarios.
Job Title: Professor of finance / Department: Economics, Finance, Applied mathematics / Industries: Universities, business schools / Motivation: To include a programming course in the syllabus.
Secondary Market:
Job Title: Auditors/accountants / Department: Accounting / Industries: Banks, audit firms / Areas of Responsibility: Exotic derivatives′ price validation / Motivation: Fair valuation of risky assets.  

Cuprins


Notă biografică

FRANÇOIS GOOSSENS has 12 years' experience of programming pricing algorithms in Java and VBA. As a consultant, he currently trains students and young practitioners in computational finance through VBA coding. Prior to that, over a 15 year period he ran interest-rates and equity related trading desks with Credit Lyonnais and Ixis whilst strongly involved in exotic derivatives' management. François graduated from Ecole Centrale in Paris.

Descriere

Accessible VBA coding for complex financial modelling How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics.