Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)

This is a great book to own. I'm doing trading job on the street and also need to build models all the time. I was looking for a handy book explaining how to build some models using Excel VBA. And this is the only book I found in the market which exactly fits my needs. The model building methodologies are clear and advanced, code is very applicable, not hard to understand and implement yourself. The most important, the models author introduced in the book are very useful and exactly what we need to build and use in my job. So generally, it's a must-have book if you're working on the trading floor or need to build models using VBA. BTW, the book omits some codes (as some reviewer points out), but don't worry, all the completed codes can be found in the disk. So it's not a problem if you use the disk.

The book does a competent (although not outstanding) job covering option pricing models as well as volatility models like GARCH and the Heston Volatility Model. However, the code examples are incredibly sloppy. As just one example, look at the second function on page 16. It declares four variables that are never used in the function, while other variables are used without declaration. The use of arrays does not conform to accepted VBA practice. While none of these is an actual error, it illustrates the severe sloppiness of the code. In other places (some of which have been pointed out by other reviewers), it does result in errors. I found myself rewriting almost all the code. It is, however, to the book's credit that between the text and the code illustrations, it is possible to figure out what to do if you're a VBA programmer.

I bought this book when it was released in 2007. It is 3 years old and falling apart - not because it was badly put together but because I use it so frequently. This is not a book for a novice or a rookie trader. It is a resource for any quant, quant developer or experienced trader with a quantitative mind. If you need to develop option pricing models, you can start here. The VBA code given is an excellent resource and often a starting point for building new option pricers. However, beware, the code is not always easy to follow and seldom optimized or efficiently written. This is not an issue though because the models can easily be optimized if you know your way around VBA.

Options and Volatility are fairly technical subjects. Anyone expecting to read this book should know what they are getting themselves into. The background on the different models are presented, but the reader should be familiar with some of the material or should have a decent mathematical background. This book doesn't waste time with too much background material, and jumps straight to the model/code format. The VBA part is pretty straight-forward and I think the code is presented pretty well. Prior to this book, I would never have thought to program options or volatility codes in VBA as there are other more sophisticated programs that can be used (e.g. MATLAB). However, VBA comes with Excel, which every person probably has. In that light, programming these models in VBA will make it more accessible to a wider audience and the reader can learn tricks that can be applied to other modeling tasks.

Good examples. Very easy to follow. Clearly explained. CD with everything you need. I liked it a lot.

I bought this book new from Amazon. It is supposed to have a CD-ROM with all of the code. This book is pretty much useless without the code.

Starting from the very basics (Newton Raphson, Ordinary Least Squares etc.), this book covers pretty much everything about option pricing including Heston's Stochastic Volatility model! The code is easy to understand and it actually works. Every chapter has practice problems at the end, and the best part is - the book also has solutions to them! So immediately after reading and executing the code provided on cd, you get to work on problems plus get help from provided solutions if you get stuck. This is really a practitioner's gold. Dont expect much theory and background about various models. But yes, this book will definitely teach you how to implement them. A must buy. Great work, authors. Cheers.

When I purchased this book I was looking for a quick way to get reliable code implementing the Heston model in an Excel/VBA environment. In particular, I was doing research work on long dated options. I found the book useful but my expectations were not met. The book was useful in that it introduced me to complex variable techniques for Excel/VBA and illustrated a reasonable approach to solving the Heston model. The devil was in the details. The VB routines on the CD often fall over for long dated options (underflow/overflow) and some well known subtlties of complex calculus appear to be ignored (e.g. keeping track of the branch you are on for the complex logarithm). All of these issues were within my power to fix but I was dissappointed that I had to spend that much time on it.

Nach Kontakt per E-Mail erhielt ich ca. 1-2 Woche n später eine Rückmail mit der Möglichkeit die VBA Dateien vom Buch down zu loaden. Aus diesem Grund bin ich mehr als zufrieden mit diesem Artikel und gebe 5 Sterne.

You have to want to get into the math and if you do this works great. Book didn't have the CD but I contacted Wiley and showed proof of purchase and they were great in sending me a zip file of all the book's VBA programs.