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This comprehensive guide offers traders, quants, and studentsthe tools and techniques for using advanced models for pricingoptions. The accompanying website includes data files, such asoptions prices, stock prices, or index prices, as well as all ofthe codes needed to use the option and volatility models describedin the book. Praise for Option Pricing Models & Volatility UsingExcel-VBA "Excel is already a great pedagogical tool for teaching optionvaluation and risk management. But the VBA routines in this bookelevate Excel to an industrial-strength financial engineeringtoolbox. I have no doubt that it will become hugely successful as areference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance,Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how toimplement option pricing and volatility models in VBA. The booktakes an in-depth look into how to implement the Heston and Hestonand Nandi models and includes an entire chapter on parameterestimation, but this is just the tip of the iceberg. Everyoneinterested in derivatives should have this book in their personallibrary." —Espen Gaarder Haug, option trader, philosopher, andauthor of Derivatives Models on Models "I am impressed. This is an important book because it is thefirst book to cover the modern generation of option models,including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance,R.H. Smith School of Business, University of Maryland
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Dieses Buch unterstützt Asset Manager und Kapitalanleger darin, eine reflektierte Haltung gegenüber Derivaten zu entwickeln und diese zielgerichtet und erfolgreich einzusetzen. Das Thema ist aktueller denn je, weil immer mehr Investoren im derzeitigen Niedrigrenditeumfeld erkennen, dass Derivate ihre Handlungs- und Ertragsmöglichkeiten beträchtlich erweitern können. Gleichzeitig haben viele Anleger nur unzureichenden Einblick in das Leistungsspektrum von derivativen Finanzinstrumenten und die Möglichkeiten zur Verbesserung von Risiko und Rendite im Portfolio. Dieses breite Einsatzspektrum wird umfassend und aus unterschiedlichen Anwenderperspektiven dargestellt. Nach einer kurzen Einführung in das Handwerkszeug des modernen Portfoliomanagements und die Instrumente „Optionen“ und „Futures“ werden die Anwendungsgebiete „Absicherung“, „Performance-Verbesserung“ und „Risikosteuerung“ ausführlich besprochen. Dabei steht stets die Perspektive des Praktikers im Vordergrund, die durch den nötigen theoretischen und empirischen Unterbau ergänzt wird. So vermittelt Thomas Bossert das Hintergrundwissen, um die Instrumente sachgerecht einzusetzen. Aus der Praxis lässt der Autor zudem Hinweise für den täglichen Umgang mit Derivaten einfließen und zeigt, wie die Analyse von Derivaten und den Märkten, auf denen diese gehandelt werden, zum besseren Verständnis der Finanzmärkte insgesamt beitragen kann.
"Reviews all the necessary financial theory and concepts, and walks you through a wide range of real-world financial models" - cover.
Practical options pricing for better-informed investmentdecisions. The Heston Model and Its Extensions in VBA is thedefinitive guide to options pricing using two of the derivativesindustry's most powerful modeling tools—the Heston model, andVBA. Light on theory, this extremely useful reference focuses onimplementation, and can help investors more efficiently—andaccurately—exploit market information to better informinvestment decisions. Coverage includes a description of the Hestonmodel, with specific emphasis on equity options pricing andvariance modeling, The book focuses not only on the original Hestonmodel, but also on the many enhancements and refinements that havebeen applied to the model, including methods that use the Fouriertransform, numerical integration schemes, simulation, methods forpricing American options, and much more. The companion websiteoffers pricing code in VBA that resides in an extensive set ofExcel spreadsheets. The Heston model is the derivatives industry's most popularstochastic volatility model for pricing equity derivatives. Thisbook provides complete guidance toward the successfulimplementation of this valuable model using the industry'subiquitous financial modeling software, giving users theunderstanding—and VBA code—they need to produce optionprices that are more accurate, and volatility surfaces that moreclosely reflect market conditions. Derivatives pricing is often the hinge on which profit is madeor lost in financial institutions, making accuracy of utmostimportance. This book will help risk managers, traders, portfoliomanagers, quants, academics and other professionals betterunderstand the Heston model and its extensions, in a writing stylethat is clear, concise, transparent and easy to understand. Forbetter pricing accuracy, The Heston Model and Its Extensions inVBA is a crucial resource for producing more accurate modeloutputs such as prices, hedge ratios, volatilities, and graphs.
Tap into the power of the most popular stochastic volatilitymodel for pricing equity derivatives Since its introduction in 1993, the Heston model has become apopular model for pricing equity derivatives, and the most popularstochastic volatility model in financial engineering. This vitalresource provides a thorough derivation of the original model, andincludes the most important extensions and refinements that haveallowed the model to produce option prices that are more accurateand volatility surfaces that better reflect market conditions. Thebook's material is drawn from research papers and many of themodels covered and the computer codes are unavailable from othersources. The book is light on theory and instead highlights theimplementation of the models. All of the models found here havebeen coded in Matlab and C#. This reliable resource offers anunderstanding of how the original model was derived from Ricattiequations, and shows how to implement implied and local volatility,Fourier methods applied to the model, numerical integrationschemes, parameter estimation, simulation schemes, Americanoptions, the Heston model with time-dependent parameters, finitedifference methods for the Heston PDE, the Greeks, and the doubleHeston model. A groundbreaking book dedicated to the exploration of theHeston model—a popular model for pricing equityderivatives Includes a companion website, which explores the Heston modeland its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst whospecializes in financial modeling for derivatives for pricing andrisk management Engaging and informative, this is the first book to dealexclusively with the Heston Model and includes code in Matlab andC# for pricing under the model, as well as code for parameterestimation, simulation, finite difference methods, Americanoptions, and more.

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