Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)

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Praise for Option Pricing Models & Volatility Using Excel-VBA

"Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference 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 to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library."
--Espen Gaarder Haug, option trader, philosopher, nd author of Derivatives Models on Models

"I am impressed. This is an important book because it is the first 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

Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) Review

Options and Volatility are fairly technical subjects. Anyone expecting to read this book should know what they are getting themselves into. The background on the different models are presented, but the reader should be familiar with some of the material or should have a decent mathematical background. This book doesn't waste time with too much background material, and jumps straight to the model/code format. The VBA part is pretty straight-forward and I think the code is presented pretty well. Prior to this book, I would never have thought to program options or volatility codes in VBA as there are other more sophisticated programs that can be used (e.g. MATLAB). However, VBA comes with Excel, which every person probably has. In that light, programming these models in VBA will make it more accessible to a wider audience and the reader can learn tricks that can be applied to other modeling tasks.

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