Implementing Models of Financial Derivatives, with CD-ROM: Object Oriented Applications with VBA
"Excel VBA is widely used in financial engineering, but many people may not be aware of its true power. This is an absolutely terrific book that exposes the technical deployment into object-oriented VBA of advanced Monte Carlo simulation for pricing financial derivatives, including the most up-to-date algorithms for dealing with stochastic volatility models, early exercise features and variance reduction techniques. The book deserves to be an important and fundamental tool for researchers and graduate students in financial engineering, and practitioners implementing models in industry."—Gianluca Fusai, Professor of Financial Mathematics, SEMeQ, U. degli Studi del Piemonte Orientale"Comprehensive and carefully written, Webber’s new book is destined to be essential reference for anyone using VBA to price options."—Mark Joshi, Associate Professor, University of Melbourne"This book by Nick Webber is a well-rounded exposition on the design and implementation of Monte Carlo applications using VBA. What I personally like is the balance between finance, numerical methods, software design and code and these topics make the book stand out and unique. In order to help in the learning process the author takes and incremental and practical approach by producing prototype solutions before progressing to more advanced object-based solutions. Chapters contain exercises that reinforce the reader’s understanding at each step and the source code that accompanies the book makes implementations immediately accessible. This book will give the reader invaluable insights into creating software applications in VBA."—Daniel Duffy, Datasim Financial