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Options pricing models and volatilit...

Rouah, Fabrice, (1964-)

Options pricing models and volatility using Excel-VBA /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Options pricing models and volatility using Excel-VBA /Fabrice Douglas Rouah, Gregory Vainberg.
remainder title:	Options pricing models & volatility using Excel-VBA
Author:	Rouah, Fabrice,
other author:	Vainberg, Gregory,
Published:	Hoboken, NJ :J. Wiley & Sons,c2007.
Description:	xi, 441 p. :ill. ;24 cm.
Subject:	Options (Finance)Prices.
Online resource:	http://www.loc.gov/catdir/toc/ecip071/2006031250.html
Online resource:	http://www.loc.gov/catdir/enhancements/fy0741/2006031250-b.html
Online resource:	http://www.loc.gov/catdir/enhancements/fy0741/2006031250-d.html
ISBN:	9780471794646 (pbk./cd-rom)

Options pricing models and volatility using Excel-VBA /
Rouah, Fabrice,1964-

Options pricing models and volatility using Excel-VBA /Options pricing models & volatility using Excel-VBAFabrice Douglas Rouah, Gregory Vainberg. - Hoboken, NJ :J. Wiley & Sons,c2007. - xi, 441 p. :ill. ;24 cm. - Wiley finance series.

Includes bibliographical references and index.

Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.

ISBN: 9780471794646 (pbk./cd-rom)

LCCN: 2006031250Subjects--Uniform Titles:

Microsoft Excel (Computer file)
Subjects--Topical Terms:

207696
Options (Finance)
--Prices.

LC Class. No.: HG6024.A3 / R852 2007

Dewey Class. No.: 332.64/53

Options pricing models and volatility using Excel-VBA /
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050 4 $a HG6024.A3 $b R852 2007
082 0 0 $2 22 $a 332.64/53
100 $a Rouah, Fabrice, $d 1964- $3 266435
245 1 0 $a Options pricing models and volatility using Excel-VBA / $c Fabrice Douglas Rouah, Gregory Vainberg.
246 3 4 $a Options pricing models & volatility using Excel-VBA
260 $a Hoboken, NJ : $c c2007. $b J. Wiley & Sons,
300 $a xi, 441 p. : $b ill. ; $c 24 cm.
490 0 $a Wiley finance series
504 $a Includes bibliographical references and index.
505 0 $a Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
630 $a Microsoft Excel (Computer file) $3 190780
630 $a Microsoft Visual Basic for applications. $3 219823
650 $a Options (Finance) $x Prices. $3 207696
650 $a Capital investments $x Evaluation $x Mathematical models. $3 266436
650 $a Options (Finance) $x Mathematical models. $3 183333
700 $a Vainberg, Gregory, $d 1978- $3 266434
856 4 1 $3 Table of contents only $u http://www.loc.gov/catdir/toc/ecip071/2006031250.html $z http://www.loc.gov/catdir/toc/ecip071/2006031250.html
856 4 2 $3 Contributor biographical information $u http://www.loc.gov/catdir/enhancements/fy0741/2006031250-b.html $z http://www.loc.gov/catdir/enhancements/fy0741/2006031250-b.html
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/enhancements/fy0741/2006031250-d.html $z http://www.loc.gov/catdir/enhancements/fy0741/2006031250-d.html

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