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Option pricing models and volatility using Excel-VBA+CD / Fabrice Douglas Rouah,and Gregory Vainberg

By: Contributor(s): Material type: TextTextSeries: Wiley finance seriesPublication details: Hoboken, NJ : Johns Wiley & Sons, 2007Description: xi,441pISBN:
  • 9780471794646
Subject(s): DDC classification:
  • 332.6453 R6O6
Contents:
Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Book Book Indore 332.6453 R6O6 (Browse shelf(Opens below)) Available IIMI-20428
Total holds: 0

Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.

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