Implementing models of financial derivatives: object oriented applications with VBA

This book teaches students and non-quant practitioners numerics and the design of a powerful pricing tool in VBA. It is a step by step guide which takes the reader through the basics of VBA, from simple procedural code to the advanced design of systems and fully-fledged object-style applications. The most advanced and complicated features of VBA, such as objects and interfaces and eventand error handling are fully worked through explained and their correct use illustrated. The book is in two parts, the first on VBA, the second on Monte Carlo and lattice methods and their implementation in VBA. The VBA part takes the reader through a series of designs, each introducing a new programming feature. It starts from a plain procedure and leads up to a fully object oriented style application harness with an implementation of a semi-polymorphic factory.Part 1 topics include: objects in VBA, their definition and implementation; polymorphism in VBA and the use of interfaces; polymorphic output; events in VBA; the factory pattern and the implementation of a semi-polymorphic factory. There is a chapter on performance issues in VBA at the nitty gritty level and aseparate chapter on the implications of using various VBA data structures both on performance and on the Monte Carlo method. Part 2 focuses on Monte Carlo and Lattice Methods with an emphasis on their implementation in VBA and an assessment of their effectiveness in test-bed models: the Heston stochastic volatility model and the Fong and Vasucek fixed income model. Bias reduction methods: moment matching, martingale simulation and an analysis of discretization schemes are also explained. Full implementation methods and code are provided for all the methods discussed.

• ISBN: 978-0-470-71220-7
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 664
• Fecha Publicación: 09/07/2010
• Nº Volúmenes: 1
• Idioma: Inglés