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Option pricing models and volatility using Excel-VBA / Fabrice Douglas Rouah, Gregory Vainberg.

By: Contributor(s): Material type: TextSeries: Wiley financePublication details: Hoboken, N.J. : John Wiley & Sons, c2007.Description: xi, 441 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.)ISBN:
  • 0471794643
  • 9780471794646
Subject(s): LOC classification:
  • HG6024.A3 R678 2007
Contents:
Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
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Holdings
Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
Books Library Neapolis University Pafos NUP Main Collection HG6024.A3 R678 2007 (Browse shelf(Opens below)) 1 Available CD ON POCKET 3000055
Total holds: 0

Includes bibliographical references (p. 409-412) and index.

Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.

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