How to Implement Market Models Using VBA



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How to Implement Market Models Using VBA
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AuthorFrancois Goossens
PublisherWiley
Published2015
Pages312
LanguageEnglish
FormatPaper book / ebook (PDF)
ISBN-101118962001
ISBN-139781118962008
EBook Hardcover Paperback

How to Implement 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 (http://implementmodinvba.com/) 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.





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