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Option pricing models and volatility using Excel-VBA+CD

Option pricing models and volatility using Excel-VBA+CD (22회 대출)

자료유형
단행본
개인저자
Rouah, Fabrice , 1964-. Vainberg, Gregory , 1978-
서명 / 저자사항
Option pricing models and volatility using Excel-VBA+CD / Fabrice Douglas Rouah, Gregory Vainberg.
발행사항
Hoboken, NJ :   J. Wiley & Sons ,   2007.  
형태사항
xi, 441 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.).
총서사항
Wiley finance series
ISBN
9780471794646 (paper/cd-rom) 0471794643 (paper/cd-rom)
내용주기
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.
서지주기
Includes bibliographical references and index.
일반주제명
Options (Finance) -- Prices. Capital investments -- Evaluation -- Mathematical models. Options (Finance) -- Mathematical models.
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010 ▼a 2006031250
020 ▼a 9780471794646 (paper/cd-rom)
020 ▼a 0471794643 (paper/cd-rom)
035 ▼a (KERIS)REF000012825793
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG6024.A3 ▼b R678 2007
082 0 0 ▼a 332.64/53 ▼2 22
090 ▼a 332.6453 ▼b R852o
100 1 ▼a Rouah, Fabrice , ▼d 1964-.
245 1 0 ▼a Option pricing models and volatility using Excel-VBA+CD / ▼c Fabrice Douglas Rouah, Gregory Vainberg.
260 ▼a Hoboken, NJ : ▼b J. Wiley & Sons , ▼c 2007.
300 ▼a xi, 441 p. : ▼b ill. ; ▼c 24 cm. + ▼e 1 CD-ROM (4 3/4 in.).
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 0 0 ▼a Microsoft Excel (Computer file)
630 0 0 ▼a Microsoft Visual Basic for applications.
650 0 ▼a Options (Finance) ▼x Prices.
650 0 ▼a Capital investments ▼x Evaluation ▼x Mathematical models.
650 0 ▼a Options (Finance) ▼x Mathematical models.
700 1 ▼a Vainberg, Gregory , ▼d 1978-
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 332.6453 R852o 등록번호 121147372 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

Chapter 1 Mathematical Preliminaries.

Complex Numbers.

Finding Roots of Functions.

OLS and WLS.

Nelder-Mead Algorithm.

Maximum Likelihood Estimation.

Cubic Spline Interpolation.

Exercises and Solutions.

Chapter 2 Numerical Integration.

Newton-Coates Formulas.

Implementing Newton-Coates Formulas in VBA.

Gaussian Quadratures.

Exercises and Solutions.

Chapter 3 Tree-Based Methods.

CRR Binomial Tree.

Leisen-Reimer Binomial Tree.

Edgeworth Binomial Tree.

Flexible Binomial Tree.

Trinomial Tree.

Adaptive Mesh Method.

Comparing Trees.

Implied Volatility Trees.

Allowing for Dividends and the Cost of Carry.

Exercises and Solutions.

Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models.

Black-Scholes Model.

Implied Volatility and the DVF.

Practitioner Black-Scholes Model.

Gram-Charlier Model.

Exercises and Solutions.

Chapter 5 The Heston Stochastic Volatility Model.

Heston (1993) Model.

Increasing Integration Accuracy.

The Fundamental Tranform.

Sensitivity Analysis.

Exercises and Solutions.

Chapter 6 The Heston and Nandi GARCH Model.

Persistent Volatility in Asset Returns.

GARCH Variance Modeling.

Heston and Nandi (2000) Model.

Exercises and Solutions.

Chapter 7 The Greeks.

Black-Scholes Greeks.

Greeks From the Trees.

Greeks From the Gram-Charlier Model.

Greeks From the Heston (1993) Model.

Greeks From the Heston and Nandi (2000) Model.

Greeks by Finite Differences.

Exercises and Solutions.

Chapter 8 Exotic Options.

Single-Barrier Options.

Digital Options.

Asian Options.

Floating-Strike Lookback Options.

Exercises and Solutions.

Chapter 9 Parameter Estimation.

Unconditional Moments.

Maximum Likelihood for GARCH Models.

Estimation by Loss Functions.

Exercises and Solutions.

Chapter 10 Implied Volatility.

Obtaining Implied Volatility.

Explaining Smiles and Smirks

Fitting the Smile with the Heston (1993) Model.

Exercises and Solutions.

Chapter 11 Model-Free Implied Volatility.

Theoretical Foundation.

Implementation.

Interpolation-Extrapolation Method.

Model-Free Implied Forward Volatility.

The VIX Index.

Exercises and Solutions.

Chapter 12 Model-Free Higher Moments.

Theoretical Foundation.

Implementation.

Verifying Implied Moments.

Gram-Charlier Implied Moments.

Exercises and Solutions.

Chapter 13 Volatility Returns.

Straddle Returns.

Delta-Hedged Gains.

Volatility Exposure.

Variance Swaps.

Exercises and Solutions.

Appendix VBA Primer.


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