Kaiza Amouh

Quantitative Associate, Natixis CIB, Paris

Programmation en VBA

Les objectifs du cours

The course is designed to cover a range of derivatives pricing algorithms, from the modeling techniques to practical applications using VBA in Excel.

Plan du cours

1. Initializing with Excel and VBA functions

  • Useful Excel functions
  • Introduction to VBA
  • Building first application in VBA

2. Black-Scholes model

  • Classic Black-Scholes formula
  • Put-Call parity
  • "Greeks" computing

3. Other computational methods

  • Binomial method in option pricing (Cox, Ross and Rubinstein method,  "Greeks" in binomial trees)
  • Monte-Carlo simulation (Random generator, Stock price simulation, Monte-Carlo method and variance reduction)

4. Volatility and beyond

  • Historical volatility
  • Implied volatility
  • Numerical methods

Bibliographie

Jackson M. and M. Staunton, Advanced modelling in finance using Excel and VBA, Wiley, 2001.

Examen

1 final exam and 1 complete assignment.