Implementing Models of Financial Derivatives (PDF)

Implementing Models of Financial Derivatives is a comprehensive
treatment of advanced implementation techniques in VBA for models
of financial derivatives. Aimed at readers who are already familiar
with the basics of VBA it emphasizes a fully object oriented
approach to valuation applications, chiefly in the context of Monte
Carlo simulation but also more broadly for lattice and PDE methods.
Its unique approach to valuation, emphasizing effective
implementation from both the numerical and the computational
perspectives makes it an invaluable resource. The book comes with a
library of almost a hundred Excel spreadsheets containing
implementations of all the methods and models it investigates,
including a large number of useful utility procedures. Exercises
structured around four application streams supplement the
exposition in each chapter, taking the reader from basic procedural
level programming up to high level object oriented implementations.
Written in eight parts, parts 1-4 emphasize application design in
VBA, focused around the development of a plain Monte Carlo
application. Part 5 assesses the performance of VBA for this
application, and the final 3 emphasize the implementation of a fast
and accurate Monte Carlo method for option valuation. Key topics
include: ?Fully polymorphic factories in VBA; ?Polymorphic input
and output using the TextStream and FileSystemObject objects;
?Valuing a book of options; ?Detailed assessment of the performance
of VBA data structures; ?Theory, implementation, and comparison of
the main Monte Carlo variance reduction methods; ?Assessment of
discretization methods and their application to option valuation in
models like CIR and Heston; ?Fast valuation of Bermudan options by
Monte Carlo. Fundamental theory and implementations of lattice and
PDE methods are presented in appendices and developed through the
book in the exercise streams. Spanning the two worlds of academic
theory and industrial practice, this book is not only suitable as a
classroom text in VBA, in simulation methods, and as an
introduction to object oriented design, it is also a reference for
model implementers and quants working alongside derivatives groups.
Its implementations are a valuable resource for students, teachers
and developers alike. Note: CD-ROM/DVD and other supplementary
materials are not included as part of eBook file.