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Autor: Nick Webber
ISBN-13: 9780470662519
Einband: E-Book
Seiten: 692
Sprache: Englisch
eBook Typ: PDF
eBook Format: E-Book
Kopierschutz: Adobe DRM [Hard-DRM]
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Implementing Models of Financial Derivatives

Wiley Finance Series
Object Oriented Applications with VBA
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Implementing Models of Financial Derivatives is a comprehensivetreatment of advanced implementation techniques in VBA for modelsof financial derivatives. Aimed at readers who are already familiarwith the basics of VBA it emphasizes a fully object orientedapproach to valuation applications, chiefly in the context of MonteCarlo simulation but also more broadly for lattice and PDE methods.Its unique approach to valuation, emphasizing effectiveimplementation from both the numerical and the computationalperspectives makes it an invaluable resource. The book comes with alibrary of almost a hundred Excel spreadsheets containingimplementations of all the methods and models it investigates,including a large number of useful utility procedures. Exercisesstructured around four application streams supplement theexposition in each chapter, taking the reader from basic procedurallevel programming up to high level object oriented implementations.Written in eight parts, parts 1-4 emphasize application design inVBA, focused around the development of a plain Monte Carloapplication. Part 5 assesses the performance of VBA for thisapplication, and the final 3 emphasize the implementation of a fastand accurate Monte Carlo method for option valuation. Key topicsinclude: ?Fully polymorphic factories in VBA; ?Polymorphic inputand output using the TextStream and FileSystemObject objects;?Valuing a book of options; ?Detailed assessment of the performanceof VBA data structures; ?Theory, implementation, and comparison ofthe main Monte Carlo variance reduction methods; ?Assessment ofdiscretization methods and their application to option valuation inmodels like CIR and Heston; ?Fast valuation of Bermudan options byMonte Carlo. Fundamental theory and implementations of lattice andPDE methods are presented in appendices and developed through thebook in the exercise streams. Spanning the two worlds of academictheory and industrial practice, this book is not only suitable as aclassroom text in VBA, in simulation methods, and as anintroduction to object oriented design, it is also a reference formodel implementers and quants working alongside derivatives groups.Its implementations are a valuable resource for students, teachersand developers alike. Note: CD-ROM/DVD and other supplementarymaterials are not included as part of eBook file.

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Autor: Nick Webber
ISBN-13 :: 9780470662519
ISBN: 0470662514
Verlag: John Wiley & Sons
Seiten: 692
Sprache: Englisch
Auflage 1. Auflage
Sonstiges: Ebook