Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)

Praise for Option Pricing Models & Volatility Using Excel-VBA

`Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers.`
--Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University

`This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library.`
--Espen Gaarder Haug, option trader, philosopher, nd author of Derivatives Models on Models

`I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH.`
--Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

User review
Great Book
Starting from the very basics (Newton Raphson, Ordinary Least Squares etc.), this book covers pretty much everything about option pricing including Heston's Stochastic Volatility model! The code is easy to understand and it actually works. Every chapter has practice problems at the end, and the best part is - the book also has solutions to them! So immediately after reading and executing the code provided on cd, you get to work on problems plus get help from provided solutions if you get stuck.

This is really a practitioner's gold. Dont expect much theory and background about various models. But yes, this book will definitely teach you how to implement them. A must buy. Great work, authors.

Cheers.

User review
Good practical option pricing book
This book is written for practitioners rather than for academics. As such, it contains little proofs, but rather concentrates on providing very clear descriptions of the models and VBA code to implement them. The book is very well thought-out and clearly organized. I was amazed at the contents because there is some very good material in there that I could not find anywhere else.


User review
Course Text Recommendation
I recommend this book for my Volatility Analysis module (for ICMA Centre MSc in Financial Risk Management and MSC Financial Engineering). It is particularly useful for the Financial Risk Management (FRM) students because, of the 2 groups, these tend to have less background in mathematics and programming. It is useful to have the numerical methods explained together with the option pricing models in one book, and the FRM students really appreciate the VBA code, which ties in very well with some of the practical workshops.

User review
A staple in my cubicle
This book fills a large gap because it provides a practical way to implement option pricing models. I therefore have to agree with most of these posts: the book is well written, clearly explained, and light on theory. There's a lot of good stuff in there, so I like it a lot and find it very useful. I especially like the Greeks for the Heston and Heston & Nandi models. I had not seen these in closed form before buying this book.

User review
Good Contents, Good Writing, Bad VBA Codes
An Overall good book with contents that are not covered by other books.
I found it very helpful to go though the math concepts and code practices.
However a new edition is seriously needed to correct all the bugs & errors in the book, The VBA codes provided has many bugs and omissions, which can confuse some begining VBA users.