000 08356cam a2200937 i 4500
001 sulb-eb0033658
003 BD-SySUS
005 20170713221413.0
006 m o d
007 cr |||||||||||
008 141224s2015 enk ob 001 0 eng
010 _a 2014049792
040 _aDLC
_beng
_erda
_epn
_cDLC
_dN$T
_dYDXCP
_dDG1
_dE7B
_dOCLCF
_dUMI
_dEBLCP
_dIDEBK
_dRECBK
_dHEBIS
_dCDX
_dDEBSZ
_dCOO
_dOCLCQ
_dDEBBG
_dOCLCQ
_dTEFOD
_dVT2
_dK6U
_dBD-SySUS
019 _a902417444
_a914287634
_a927376388
_a961646639
_a962625206
020 _a9781118961988
_qelectronic bk.
020 _a1118961986
_qelectronic bk.
020 _a9781118961995
_qelectronic bk.
020 _a1118961994
_qelectronic bk.
020 _a9781119065838
_qelectronic bk.
020 _a1119065836
_qelectronic bk.
020 _a1118962001
_qelectronic bk.
020 _a9781118962008
_qelectronic bk.
020 _z9781118962008
_q(hardback)
020 _a9781322877082
020 _a1322877084
029 1 _aCHNEW
_b000708559
029 1 _aCHVBK
_b334959454
029 1 _aDEBBG
_bBV042743703
029 1 _aDEBBG
_bBV043019860
029 1 _aDEBSZ
_b431874271
029 1 _aDEBSZ
_b44947724X
029 1 _aNZ1
_b15914899
029 1 _aDEBSZ
_b45569429X
029 1 _aDEBBG
_bBV043615988
029 1 _aDEBSZ
_b475038142
029 1 _aDEBBG
_bBV043397401
035 _a(OCoLC)898756996
_z(OCoLC)902417444
_z(OCoLC)914287634
_z(OCoLC)927376388
_z(OCoLC)961646639
_z(OCoLC)962625206
037 _aCL0500000619
_bSafari Books Online
037 _a2DF5EFB5-98E1-4235-BA0C-B82F12FBF0EC
_bOverDrive, Inc.
_nhttp://www.overdrive.com
042 _apcc
050 0 0 _aHG106
072 7 _aBUS
_x027000
_2bisacsh
082 0 0 _a332.0285/5133
_223
084 _aBUS027000
_2bisacsh
049 _aMAIN
100 1 _aGoossens, Francois,
_d1960-
245 1 0 _aHow to implement market models using VBA /
_cFrancois Goossens.
264 1 _aChicester, West Sussex UK :
_bJohn Wiley & Sons, Inc.,
_c2015.
300 _a1 online resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aWiley finance series
500 _aIncludes index.
520 _a"Accessible VBA coding for complex financial modellingImplementing 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 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. Implementing 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, Implementing Market Models Using VBA is an essential introductory guide"--
_cProvided by publisher.
588 0 _aPrint version record and CIP data provided by publisher.
504 _aIncludes bibliographical references and index.
505 0 _aCover; Title Page; Copyright; Contents; Preface; Acknowledgements; Abbreviations; About the Author; Chapter 1 The Basics of VBA Programming; 1.1 Getting started; 1.2 VBA objects and syntax; 1.2.1 The object-oriented basic syntax; 1.2.2 Using objects; 1.3 Variables; 1.3.1 Variable declaration; 1.3.2 Some usual objects; 1.3.3 Arrays; 1.4 Arithmetic; 1.5 Subroutines and functions; 1.5.1 Subroutines; 1.5.2 Functions; 1.5.3 Operations on one-dimensional arrays; 1.5.4 Operations on two-dimensional arrays (matrices); 1.5.5 Operations with dates; 1.6 Custom objects; 1.6.1 Types; 1.6.2 Classes.
505 8 _a1.7 Debugging1.7.1 Error handling; 1.7.2 Tracking the code execution; Chapter 2 Mathematical Algorithms; 2.1 Introduction; 2.2 Sorting lists; 2.2.1 Shell sort; 2.2.2 Quick sort; 2.3 Implicit equations; 2.4 Search for extrema; 2.4.1 The Nelder-Mead algorithm; 2.4.2 The simulated annealing; 2.5 Linear algebra; 2.5.1 Matrix inversion; 2.5.2 Cholesky decomposition; 2.5.3 Interpolation; 2.5.4 Integration; 2.5.5 Principal Component Analysis; Chapter 3 Vanilla Instruments; 3.1 Definitions; 3.2 Fixed income; 3.2.1 Bond market; 3.2.2 Interbank market; 3.3 Vanilla derivatives; 3.3.1 Forward contracts.
505 8 _a3.3.2 Swaps3.3.3 Bond futures; 3.4 Options basics; 3.4.1 Brownian motion; 3.4.2 Ito integral; 3.4.3 Ito formula; 3.4.4 Black-Scholes basic model; 3.4.5 Risk-neutral probability; 3.4.6 Change of probability; 3.4.7 Martingale and numeraires; 3.4.8 European-style options pricing; 3.5 First generation exotic options; 3.5.1 Barrier options; 3.5.2 Quanto options; Chapter 4 Numerical Solutions; 4.1 Finite differences; 4.1.1 Generic equation; 4.1.2 Implementation; 4.2 Trees; 4.2.1 Binomial trees; 4.2.2 Trinomial trees; 4.3 Monte-Carlo scenarios; 4.3.1 Uniform number generator.
505 8 _a4.3.2 From uniform to Gaussian numbers4.4 Simulation and regression; 4.5 Double-barrier analytical approximation; Chapter 5 Monte-Carlo Pricing Issues; 5.1 Multi-asset simulation; 5.1.1 The correlations issue; 5.1.2 The Gaussian case; 5.1.3 Exotics; 5.2 Discretization schemes; 5.3 Variance reduction techniques; 5.3.1 Antithetic variates; 5.3.2 Importance sampling; 5.3.3 Control variates; Chapter 6 Yield Curve Models; 6.1 Short rate models; 6.1.1 Introduction; 6.1.2 Hull and White one-factor model; 6.1.3 Gaussian two-factor model; 6.1.4 Hull and White two-factor model; 6.2 Forward rate models.
505 8 _a6.2.1 Generic Heath-Jarrow-Morton6.2.2 LMM (LIBOR market model); Chapter 7 Stochastic Volatilities; 7.1 The Heston model; 7.1.1 Code; 7.1.2 A faster algorithm; 7.1.3 Calibration; 7.2 Barrier options; 7.2.1 Numerical results; 7.2.2 Code; 7.3 Asian-style options; 7.4 SABR model; 7.4.1 Caplets; 7.4.2 Code; Chapter 8 Interest Rate Exotics; 8.1 CMS swaps; 8.1.1 Code; 8.2 Cancelable swaps; 8.2.1 Code; 8.2.2 Tree approximation; 8.3 Target redemption note; 8.3.1 Code; Bibliography; Index; EULA.
650 0 _aFinance
_xMathematical models
_xComputer programs.
650 0 _aVisual Basic for Applications (Computer program language)
650 7 _aBUSINESS & ECONOMICS
_xFinance.
_2bisacsh
650 7 _aFinance
_xMathematical models
_xComputer programs.
_2fast
_0(OCoLC)fst00924399
650 7 _aVisual Basic for Applications (Computer program language)
_2fast
_0(OCoLC)fst01910316
655 4 _aElectronic books.
776 0 8 _iPrint version:
_aGoossens, Francois, 1960-
_tHow to implement market models using VBA.
_dWest Sussex : John Wiley & Sons, Inc., 2015
_z9781118962008
_w(DLC) 2014041091
830 0 _aWiley finance series.
856 4 0 _uhttp://onlinelibrary.wiley.com/book/10.1002/9781119065838
_zWiley Online Library [Free Download only for SUST IP]
938 _aCoutts Information Services
_bCOUT
_n30590593
938 _aEBL - Ebook Library
_bEBLB
_nEBL1895819
938 _aebrary
_bEBRY
_nebr11012467
938 _aEBSCOhost
_bEBSC
_n943225
938 _aIngram Digital eBook Collection
_bIDEB
_ncis30590593
938 _aRecorded Books, LLC
_bRECE
_nrbeEB00595878
938 _aYBP Library Services
_bYANK
_n12261380
938 _aYBP Library Services
_bYANK
_n12281354
994 _a92
_bDG1
999 _c65310
_d65310