Programming I : VBA and Python

Ects : 3

Enseignant responsable :

Volume horaire : 30

Description du contenu de l'enseignement :

Course objectives The course is designed to cover a range of derivatives pricing algorithms, from the modeling techniques to practical applications using VBA in Excel. Course outline 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 and "Greeks" in binomial trees)
  • Monte-Carlo simulation (Random generator, Stock price simulation and Monte-Carlo method and variance reduction)

4. Volatility and beyond

  • Historical volatility
  • Implied volatility
  • Numerical methods
Coefficient : 1.5

Compétence à acquérir :

Master VBA programming of basic derivatives pricing models

Mode de contrôle des connaissances :

1 final exam and 1 complete assignment.

Bibliographie, lectures recommandées

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