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| 003 | OCoLC | ||
| 005 | 20171025132800.0 | ||
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| 007 | cr ||||||||||| | ||
| 008 | 141224s2015 enk ob 001 0 eng | ||
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_a2DF5EFB5-98E1-4235-BA0C-B82F12FBF0EC _bOverDrive, Inc. _nhttp://www.overdrive.com |
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_aDLC _beng _erda _epn _cDLC _dN$T _dYDXCP _dDG1 _dE7B _dOCLCF _dUMI _dEBLCP _dIDEBK _dRECBK _dHEBIS _dCDX _dDEBSZ _dCOO _dOCLCQ _dDEBBG _dOCLCQ _dTEFOD _dVT2 _dK6U |
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_a332.0285/5133 _223 |
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| 100 | 1 |
_aGoossens, Francois, _d1960- |
|
| 245 | 1 | 0 |
_aHow to implement market models using VBA / _cFrancois Goossens. _h[electronic resource] |
| 264 | 1 |
_aChicester, West Sussex UK : _bJohn Wiley & Sons, Inc., _c2015. |
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| 300 | _a1 online resource. | ||
| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 490 | 1 | _aWiley finance series | |
| 500 | _aIncludes index. | ||
| 504 | _aIncludes bibliographical references and index. | ||
| 505 | 0 | _aCover; Title Page; Copyright; Contents; Preface; Acknowledgements; Abbreviations; About the Author; Chapter 1 The Basics of VBA Programming; 1.1 Getting started; 1.2 VBA objects and syntax; 1.2.1 The object-oriented basic syntax; 1.2.2 Using objects; 1.3 Variables; 1.3.1 Variable declaration; 1.3.2 Some usual objects; 1.3.3 Arrays; 1.4 Arithmetic; 1.5 Subroutines and functions; 1.5.1 Subroutines; 1.5.2 Functions; 1.5.3 Operations on one-dimensional arrays; 1.5.4 Operations on two-dimensional arrays (matrices); 1.5.5 Operations with dates; 1.6 Custom objects; 1.6.1 Types; 1.6.2 Classes. | |
| 505 | 8 | _a1.7 Debugging1.7.1 Error handling; 1.7.2 Tracking the code execution; Chapter 2 Mathematical Algorithms; 2.1 Introduction; 2.2 Sorting lists; 2.2.1 Shell sort; 2.2.2 Quick sort; 2.3 Implicit equations; 2.4 Search for extrema; 2.4.1 The Nelder-Mead algorithm; 2.4.2 The simulated annealing; 2.5 Linear algebra; 2.5.1 Matrix inversion; 2.5.2 Cholesky decomposition; 2.5.3 Interpolation; 2.5.4 Integration; 2.5.5 Principal Component Analysis; Chapter 3 Vanilla Instruments; 3.1 Definitions; 3.2 Fixed income; 3.2.1 Bond market; 3.2.2 Interbank market; 3.3 Vanilla derivatives; 3.3.1 Forward contracts. | |
| 505 | 8 | _a3.3.2 Swaps3.3.3 Bond futures; 3.4 Options basics; 3.4.1 Brownian motion; 3.4.2 Ito integral; 3.4.3 Ito formula; 3.4.4 Black-Scholes basic model; 3.4.5 Risk-neutral probability; 3.4.6 Change of probability; 3.4.7 Martingale and numeraires; 3.4.8 European-style options pricing; 3.5 First generation exotic options; 3.5.1 Barrier options; 3.5.2 Quanto options; Chapter 4 Numerical Solutions; 4.1 Finite differences; 4.1.1 Generic equation; 4.1.2 Implementation; 4.2 Trees; 4.2.1 Binomial trees; 4.2.2 Trinomial trees; 4.3 Monte-Carlo scenarios; 4.3.1 Uniform number generator. | |
| 505 | 8 | _a4.3.2 From uniform to Gaussian numbers4.4 Simulation and regression; 4.5 Double-barrier analytical approximation; Chapter 5 Monte-Carlo Pricing Issues; 5.1 Multi-asset simulation; 5.1.1 The correlations issue; 5.1.2 The Gaussian case; 5.1.3 Exotics; 5.2 Discretization schemes; 5.3 Variance reduction techniques; 5.3.1 Antithetic variates; 5.3.2 Importance sampling; 5.3.3 Control variates; Chapter 6 Yield Curve Models; 6.1 Short rate models; 6.1.1 Introduction; 6.1.2 Hull and White one-factor model; 6.1.3 Gaussian two-factor model; 6.1.4 Hull and White two-factor model; 6.2 Forward rate models. | |
| 505 | 8 | _a6.2.1 Generic Heath-Jarrow-Morton6.2.2 LMM (LIBOR market model); Chapter 7 Stochastic Volatilities; 7.1 The Heston model; 7.1.1 Code; 7.1.2 A faster algorithm; 7.1.3 Calibration; 7.2 Barrier options; 7.2.1 Numerical results; 7.2.2 Code; 7.3 Asian-style options; 7.4 SABR model; 7.4.1 Caplets; 7.4.2 Code; Chapter 8 Interest Rate Exotics; 8.1 CMS swaps; 8.1.1 Code; 8.2 Cancelable swaps; 8.2.1 Code; 8.2.2 Tree approximation; 8.3 Target redemption note; 8.3.1 Code; Bibliography; Index; EULA. | |
| 520 |
_a"Accessible VBA coding for complex financial modellingImplementing 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 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. Implementing 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, Implementing Market Models Using VBA is an essential introductory guide"-- _cProvided by publisher. |
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| 588 | 0 | _aPrint version record and CIP data provided by publisher. | |
| 650 | 0 |
_aFinance _xMathematical models _xComputer programs. |
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| 650 | 0 | _aVisual Basic for Applications (Computer program language) | |
| 650 | 7 |
_aBUSINESS & ECONOMICS _xFinance. _2bisacsh |
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| 650 | 7 |
_aFinance _xMathematical models _xComputer programs. _2fast _0(OCoLC)fst00924399 |
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| 650 | 7 |
_aVisual Basic for Applications (Computer program language) _2fast _0(OCoLC)fst01910316 |
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| 655 | 4 | _aElectronic books. | |
| 776 | 0 | 8 |
_iPrint version: _aGoossens, Francois, 1960- _tHow to implement market models using VBA. _dWest Sussex : John Wiley & Sons, Inc., 2015 _z9781118962008 _w(DLC) 2014041091 |
| 830 | 0 | _aWiley finance series. | |
| 856 | 4 | 0 |
_uhttp://onlinelibrary.wiley.com/book/10.1002/9781119065838 _zWiley Online Library |
| 942 |
_2ddc _cBK |
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| 999 |
_c207810 _d207810 |
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