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Home VBA ebooks [Free ebook]How to Implement Market Models Using VBA (The Wiley Finance Series)-FRANÇOIS GOOSSENS

[Free ebook]How to Implement Market Models Using VBA (The Wiley Finance Series)-FRANÇOIS GOOSSENS

March 06, 2020 VBA ebooks,

[Free ebook]How to Implement Market Models Using VBA (The Wiley Finance Series)-FRANÇOIS GOOSSENS

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Product description

Accessible VBA coding for complex financial modelling

How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. With a focus on the clarity of code, this practical introductory guide includes chapters on VBA fundamentals and essential mathematical techniques, helping readers master the numerical methods to build an algorithm that can be used in a wide range of pricing problems. Coverage includes general algorithms, vanilla instruments, multi-asset instruments, yield curve models, interest rate exotics, and more, guiding readers thoroughly through pricing in the capital markets area. The companion website (http://implementmodinvba.com/) features additional VBA code and algorithmic techniques, and the interactive blog provides a forum for discussion of code with programmers and financial engineers, giving readers insight into the different applications and customisations possible for even more advanced problem solving..

Financial engineers implement models from a mathematical representation of an asset's performance by building a program that performs a valuation of securities based on this asset. How to Implement Market Models Using VBA makes this technical process understandable, with well-explained algorithms, VBA code, and accessible theoretical explanations.

Decide which numerical method to use in which scenario
Identify the necessary building blocks of an algorithm
Write clear, functional VBA code for a variety of problems
Apply algorithms to different instruments and models

Designed for finance professionals, this book brings more accurate modelling within reach for anyone with interest in the market. For clearer code, patient explanation, and practical instruction, How to Implement Market Models Using VBA is an essential introductory guide.

From the Inside Flap

How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. Practitioners can gain hands-on expertise of complex valuation issues with an easy-to-learn programming language, whilst avoiding getting too deeply involved in the theory. Author and VBA trainer, François Goossens draws on VBA programming with its accessible code that connects with Excel's easy-to-use spreadsheet format. VBA is an efficient tool to gain fast and in-depth understanding of complex derivatives.

Designed to be an approachable resource with no prior knowledge of VBA required, this practical introductory guide includes information on VBA fundamentals and essential mathematical techniques. The text helps to master the numerical methods to build an algorithm that can be used to solve a wide range of pricing problems.

How to Implement Market Models Using VBA contains information on general algorithms, vanilla instruments, multi-asset instruments, yield curve models, interest rate exotics, and more. The author offers practitioners the opportunity to check their knowledge of Capital Market fundamentals. For VBA novices, he provides training exercises to put VBA techniques, such as loops, into practice. The text deals with numerical solutions that are called for when no analytical solution is available: simply put, it fixes 99% of problems.

Goossens reviews classes of assets that are valued using Monte-Carlo simulation methods and covers multi-asset and path-dependent instruments. The text explores variance reduction techniques and addresses widely used yield curve models and critical calibration issues. The author also includes information on the Hull & White and Gaussian short rate models, Heath-Jarrow-Morton, and Libor Market forward rates curve models.

Heston's popular standard stochastic volatility model is presented in detail and includes recipes to help tackle exotic pricings. Finally, the author outlines the curve modellings that are applied in order to implement numerical algorithms aimed at some standard interest rates' exotics such as CMS Swaps, Cancelable Swaps and Target Redemption Notes. The solutions derived from different models or numerical methods are compared.

Written for finance professionals, How to Implement Market Models Using VBA brings more accurate modelling within reach of anyone with an interest in the market. For clearer code, patient explanation, and practical instruction, this important resource is an essential introductory guide.

From the Back Cover

Praise for How to Implement Market Models Using VBA

"This well-written book proposes a wide instructional use of Visual Basic in order to learn computational finance in more detail by covering issues and techniques useful for quant/trading jobs in investment companies.

All readers, students or financial engineers, will find much to improve their thinking of VBA when applied to finance thanks to the important resource of examples. I strongly recommend this new book to accompany each step toward successful programming."
―Sofiane Aboura Professor of finance, University of Paris Dauphine

"This book offers the reader a unique opportunity to obtain both introductory and advanced knowledge in Finance with direct implementations in VBA. It starts with a survival kit for VBA newcomers and covers classical techniques usually studied in MSc Finance programs. However, it also presents more sophisticated approaches to these topics (among others, the HJM and Heston models), qualifying the book for both professionals and advanced students in quantitative/computational Finance.

As such I would recommend this book to my students attending the Master 'Financial and Risk Engineering' or under my supervision in a PhD program, as well as to everyone willing to update or upgrade his knowledge in VBA for implementing market models in a professional environment."
―Olivier Brandouy Professor of finance, University of Bordeaux and IAE/Paris Sorbonne

"As financial markets have reached maturity and volumes of products have dramatically increased, the emphasis of financial research has shifted from model development to model implementation. Nowadays it is paramount to use models optimally in aspects such as development costs, transparency, controllability, etc. Their implementation is therefore as important as their all-encompassing-ness, which explains why VBA has become a tool of choice to test models and valuation tools.

How to Implement Market Models Using VBA proposes a rare junction between instruments types, asset classes, models and implementation techniques - presenting its material in a clear and educational manner.

It is a positive addition to an often fragmented and specialised literature. This book will be of great use in the hands of graduate students as well as on the desk of practitioners."
―Dr. Vincent Gesser, CEO Kleber consulting Ltd

"This book tackles a wide range of technical issues arising from the implementation of popular market models in a remarkably practical manner. The author clearly does a lot to comprehensively expose the rationale under lying pricing formulae and illustrate them with an easy to learn programming language. Practitioners wishing to strengthen their quantitative insight as well as students in finance should make the best from this book."
―Yassine Makrini, quantitative analyst, J.P. Morgan

About the Author

FRANÇOIS GOOSSENS has 12 years' experience of programming pricing algorithms in Java and VBA. As a consultant, he currently trains students and young practitioners in computational finance through VBA coding.

Prior to that, over a 15 year period he ran interest-rates and equity related trading desks with Credit Lyonnais and Ixis whilst strongly involved in exotic derivatives' management. François graduated from Ecole Centrale in Paris.