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Cover image for product 1118962001
Goossens
ISBN: 978-1-118-96200-8
Hardcover
312 pages
February 2015
This is an out of stock title.
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Praise for How to Implement Market Models Using VBA

"This well-written book proposes a wide instructional use of Visual Basic in order to learn computational finance in more detail by covering issues and techniques useful for quant/trading jobs in investment companies.

All readers, students or financial engineers, will find much to improve their thinking of VBA when applied to finance thanks to the important resource of examples. I strongly recommend this new book to accompany each step toward successful programming."
—Sofiane Aboura Professor of finance, University of Paris Dauphine

"This book offers the reader a unique opportunity to obtain both introductory and advanced knowledge in Finance with direct implementations in VBA. It starts with a survival kit for VBA newcomers and covers classical techniques usually studied in MSc Finance programs. However, it also presents more sophisticated approaches to these topics (among others, the HJM and Heston models), qualifying the book for both professionals and advanced students in quantitative/computational Finance.

As such I would recommend this book to my students attending the Master 'Financial and Risk Engineering' or under my supervision in a PhD program, as well as to everyone willing to update or upgrade his knowledge in VBA for implementing market models in a professional environment."
—Olivier Brandouy Professor of finance, University of Bordeaux and IAE/Paris Sorbonne

"As financial markets have reached maturity and volumes of products have dramatically increased, the emphasis of financial research has shifted from model development to model implementation. Nowadays it is paramount to use models optimally in aspects such as development costs, transparency, controllability, etc. Their implementation is therefore as important as their all-encompassing-ness, which explains why VBA has become a tool of choice to test models and valuation tools.

How to Implement Market Models Using VBA proposes a rare junction between instruments types, asset classes, models and implementation techniques - presenting its material in a clear and educational manner.

It is a positive addition to an often fragmented and specialised literature. This book will be of great use in the hands of graduate students as well as on the desk of practitioners."
—Dr. Vincent Gesser, CEO Kleber consulting Ltd

"This book tackles a wide range of technical issues arising from the implementation of popular market models in a remarkably practical manner. The author clearly does a lot to comprehensively expose the rationale under lying pricing formulae and illustrate them with an easy to learn programming language. Practitioners wishing to strengthen their quantitative insight as well as students in finance should make the best from this book."
—Yassine Makrini, quantitative analyst, J.P. Morgan

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