Option Pricing Models and Volatility Using Excel-VBA by Rouah, Fabrice Douglas -- Read -- Imperial Library of Trantor

Index

Cover Contents Title Copyright Dedication Preface Chapter 1: Mathematical Preliminaries

Introduction Complex Numbers Finding Roots of Functions OLS and WLS Nelder-Mead Algorithm Maximum Likelihood Estimation Cubic Spline Interpolation Summary Exercises Solutions to Exercises

Chapter 2: Numerical Integration

Introduction Newton-Coates Formulas Implementing Newton-Cotes Formulas in VBA Gaussian Quadratures Summary Exercises Solution to Exercises Appendix

Chapter 3: Tree-Based Methods

Introduction CRR Binomial Tree Leisen-Reimer Binomial Tree Edgeworth Binomial Tree Flexible Binomial Tree Trinomial Tree Adaptive Mesh Method Comparing Trees Implied Volatility Trees Allowing for Dividends and The Cost-of-Carry Summary Exercises Solutions to Exercises

Chapter 4: The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models

Introduction The Black-Scholes Model Implied Volatility and The DVF The Practitioner Black-Scholes Model The Gram-Charlier Model Summary Exercises Solutions to Exercises

Chapter 5: The Heston (1993) Stochastic Volatility Model

Introduction The Heston (1993) Model Increasing Integration Accuracy The Fundamental Transform Sensitivity Analysis Summary Exercises Solutions to Exercises Appendix

Chapter 6: The Heston and Nandi (2000) GARCH Model

Introduction Persistent Volatility in Asset Returns Garch Variance Modeling The Heston and Nandi (2000) Model Summary Exercises Solutions to Exercises

Chapter 7: The Greeks

Introduction Black-Scholes Greeks Greeks From The Trees Greeks From The Gram-Charlier Model Greeks From The Heston (1993) Model Greeks From The Heston and Nandi (2000) Model Greeks By Finite Differences Summary Exercises Solutions to Exercises Appendix

Chapter 8: Exotic Options

Introduction Single-Barrier Options Digital Options Asian Options Floating-Strike Lookback Options Summary Exercises Solutions to Exercises

Chapter 9: Parameter Estimation

Introduction Unconditional Moments Maximum Likelihood for Garch Models Estimation by Loss Functions Other Estimation Methods Summary Exercises Solutions to Exercises

Chapter 10: Implied Volatility

Introduction Obtaining Implied Volatility Explaining Smiles and Smirks Summary Exercises Solutions to Exercises

Chapter 11: Model-Free Implied Volatility

Introduction Theoretical Foundation Implementation Interpolation-Extrapolation Method Model-Free Implied Forward Volatility The Vix Index Summary Exercises

Chapter 12: Model-Free Higher Moments

Introduction Theoretical Foundation Implementation Verifying Implied Moments Gram-Charlier Implied Moments Summary Exercises Solutions to Exercises

Chapter 13: Volatility Returns

Introduction Straddle Returns Delta-Hedged Gains Volatility Exposure Variance Swaps Summary Exercises Solutions to Exercises

Appendix A: A VBA Primer References About the CD-ROM About the Authors Index