How to implement market models using VBA / (Record no. 13829)
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| control field | ocn898756996 |
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| 005 - DATE AND TIME OF LATEST TRANSACTION | |
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| fixed length control field | 141224s2015 enk ob 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
| LC control number | 2014049792 |
| 040 ## - CATALOGING SOURCE | |
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| Language of cataloging | eng |
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| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118961988 |
| Qualifying information | electronic bk. |
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| Qualifying information | electronic bk. |
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| Qualifying information | electronic bk. |
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| Qualifying information | electronic bk. |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119065838 |
| Qualifying information | electronic bk. |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1119065836 |
| Qualifying information | electronic bk. |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118962001 |
| Qualifying information | electronic bk. |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118962008 |
| Qualifying information | electronic bk. |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781118962008 |
| Qualifying information | (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781322877082 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1322877084 |
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| System control number | (OCoLC)898756996 |
| Canceled/invalid control number | (OCoLC)902417444 |
| -- | (OCoLC)914287634 |
| -- | (OCoLC)927376388 |
| -- | (OCoLC)961646639 |
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| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | CL0500000619 |
| Source of stock number/acquisition | Safari Books Online |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 2DF5EFB5-98E1-4235-BA0C-B82F12FBF0EC |
| Source of stock number/acquisition | OverDrive, Inc. |
| Note | http://www.overdrive.com |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | pcc |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG106 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 027000 |
| Source | bisacsh |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.0285/5133 |
| Edition number | 23 |
| 084 ## - OTHER CLASSIFICATION NUMBER | |
| Classification number | BUS027000 |
| Source of number | bisacsh |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Goossens, Francois, |
| Dates associated with a name | 1960- |
| 245 10 - TITLE STATEMENT | |
| Title | How to implement market models using VBA / |
| Statement of responsibility, etc | Francois Goossens. |
| 264 #1 - | |
| -- | Chicester, West Sussex UK : |
| -- | John Wiley & Sons, Inc., |
| -- | 2015. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley finance series |
| 500 ## - GENERAL NOTE | |
| General note | Includes index. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | "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"-- |
| -- | Provided by publisher. |
| 588 0# - | |
| -- | Print version record and CIP data provided by publisher. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc | Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Cover; 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# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 1.7 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# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3.3.2 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# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 4.3.2 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# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 6.2.1 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models |
| -- | Computer programs. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Visual Basic for Applications (Computer program language) |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Finance. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models |
| -- | Computer programs. |
| Source of heading or term | fast |
| -- | (OCoLC)fst00924399 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Visual Basic for Applications (Computer program language) |
| Source of heading or term | fast |
| -- | (OCoLC)fst01910316 |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| Main entry heading | Goossens, Francois, 1960- |
| Title | How to implement market models using VBA. |
| Place, publisher, and date of publication | West Sussex : John Wiley & Sons, Inc., 2015 |
| International Standard Book Number | 9781118962008 |
| Record control number | (DLC) 2014041091 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley finance series. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://onlinelibrary.wiley.com/book/10.1002/9781119065838 |
| Public note | Wiley Online Library |
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