Commentaire :

ISBN 13 : 978-0-470-71220-7

Sommaire : Contents

Part 1. A procedural Monte Carlo method in VBA.
1. The Monte Carlo Method.
2. Levels of Programming Sophistication.
3. Procedural Programming: Level 1.
4. Validation and Error Handling: Level 2.

Part 2. Objects and polymorphism.
5. Introducing Objects: Level 3.
6. Polymorphism and Interfaces: Level 4.
7. A Slice-Based Monte Carlo.
8. An Embryonic Factory: Level 5.

Part 3. Using files with VBA.
9. Input and Output to File in VBA.
10. Valuing a Book of Options.

Part 4. Polymorphic factories in VBA.
11. The VBE Object Library and a Simple Polymorphic Factory.
12. A Fully Polymorphic Factory: Level 6.
13. A Semi-Polymorphic Factory: Meta-Classes.

Part 5. Performance issues in VBA.
14. Performance and Cost in VBA.
15. Level and Performance.
16. Evolution and Data Structures.

Part 6. Variance reduction in the Monte Carlo method.
17. Wiener Sample Paths and Antithetic Variates.
18. The Wiener Process and Stratified Sampling.
19. Low-Discrepancy Sampling.
20. Variance Reduction with Control Variates.
21. Implementing Control Variates.
22. Extreme Options and Importance Sampling.
23. Combining Variance Reduction Methods.

Part 7. The Monte Carlo method: convergence and Bias.
24. The Monte Carlo Method: Convergence and Bias.
25. Discretization Methods.
26. Applications to Models.
27. Valuation in the Heston Model.

Part 8. Valuing American options by simulation.
28. Valuing American and Bermudan Options.
29. Estimating the Early Exercise Boundary.
30. The Plain LSLS Method.
31. Control Variates and the LSLS Method.

Appendices.
A. VBA and Excel.
B. Some Option Formulae.
C. The Utility Code Modules.
D. Running DLLs from VBA.
E. Object-Oriented Programming.
F. A Yukky Level 0 Monolithic Lattice Implementation.
G. A Level 1 Crank–Nicolson PDE Implementation.
H. Root-Finding and Minimization Algorithms.
VBA, Modelling, and Computing Glossary.

Bibliography

Langue : Anglais

Collection : FINANCE

Lieu d'édition : TORONTO

Illustration(s) : Schémas ; Tableau(x)

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque