Programming I : VBA and Python
Enseignant responsable :
Volume horaire : 30Description 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
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.