Khulna University of Engineering & Technology
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How to implement market models using VBA / (Record no. 13829)

000 -LEADER
fixed length control field 08308cam a2200937 i 4500
001 - CONTROL NUMBER
control field ocn898756996
003 - CONTROL NUMBER IDENTIFIER
control field OCoLC
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20171224114810.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
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008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 141224s2015 enk ob 001 0 eng
010 ## - LIBRARY OF CONGRESS CONTROL NUMBER
LC control number 2014049792
040 ## - CATALOGING SOURCE
Original cataloging agency DLC
Language of cataloging eng
Description conventions rda
-- pn
Transcribing agency DLC
Modifying agency N$T
-- YDXCP
-- DG1
-- E7B
-- OCLCF
-- UMI
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019 ## -
-- 902417444
-- 914287634
-- 927376388
-- 961646639
-- 962625206
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118961988
Qualifying information electronic bk.
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118961986
Qualifying information electronic bk.
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118961995
Qualifying information electronic bk.
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118961994
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
029 1# - (OCLC)
OCLC library identifier CHNEW
System control number 000708559
029 1# - (OCLC)
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OCLC library identifier DEBBG
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OCLC library identifier DEBBG
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OCLC library identifier DEBSZ
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029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 44947724X
029 1# - (OCLC)
OCLC library identifier NZ1
System control number 15914899
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 45569429X
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV043615988
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 475038142
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV043397401
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)898756996
Canceled/invalid control number (OCoLC)902417444
-- (OCoLC)914287634
-- (OCoLC)927376388
-- (OCoLC)961646639
-- (OCoLC)962625206
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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