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 (50%) and 1 complete assignment (50%).