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
3. Other computational methods
Binomial method in option pricing (Cox, Ross and Rubinstein method and "Greeks" in binomial trees)
Monte-Carlo simulation (Random generator, Stock price simulation and Monte-Carlo method and variance reduction)
4. Volatility and beyond
Jackson M. and M. Staunton, Advanced modelling in finance using Excel and VBA, Wiley, 2001.
1 final exam and 1 complete assignment.