我们内训的老师给的，很经典的一本书（WILEY出的），下面摘一点前言：
T his book constitutes a guide for implementing advanced option pricing models
and volatility in Excel/VBA. It can be used by MBA students specializing in
finance and risk management, by practitioners, and by undergraduate students in
their final year. Emphasis has been placed on implementing the models in VBA,
rather than on the theoretical developments underlying the models. We have made
every effort to explain the models and their coding in VBA as simply as possible.
Every model covered in this book includes one or more VBA functions that can be
accessed on the CD-ROM. We have focused our attention on equity options, and
we have chosen not to include interest rate options. The particularities of interest
rate options place them in a separate class of derivatives.
The first part of the book covers mathematical preliminaries that are used
throughout the book. In Chapter 1 we explain complex numbers and how to
implement them in VBA. We also explain how to write VBA functions for finding
roots of functions, the Nelder-Mead algorithm for finding the minimum of a
multivariate function, and cubic spline interpolation. All of these methods are used
extensively throughout the book. Chapter 2 covers numerical integration. Many of
option pricing and volatility models require that an integral be evaluated for which
no closed-form solution exists, which requires a numerical approximation to the
integral. In Chapter 2 we present various methods that have proven to be extremely
accurate and efficient for numerical integration.
The second part of this book covers option pricing formulas. In Chapter 3
we cover lattice methods. These include the well-known binomial and trinomial
trees, but also refinements such as the implied binomial and trinomial trees, the
flexible binomial tree, the Leisen-Reimer tree, the Edgeworth binomial tree, and
the adapted mesh method. Most of these methods approximate the Black-Scholes
model in discrete time. One advantage they have over the Black-Scholes model,
however, is that they can be used to price American options. In Chapter 4 we
cover the Black-Scholes, Gram-Charlier, and Practitioner Black-Scholes models, and
introduce implied volatility. The Black-Scholes model is presented as a platform
upon which other models are built. The Gram-Charlier model is an extension
of the Black-Scholes model that allows for skewness and excess kurtosis in the
distribution of the return on the underlying asset. The Practitioner Black-Scholes
model uses implied volatility fitted from a deterministic volatility function (DVF)
regression, as an input to the Black-Scholes model. It can be thought of as an
ad hoc method that adapts the Black-Scholes model to account for the volatility
smile in option prices. In Chapter 5 we cover the Heston (1993) model, which is
an extension of the Black-Scholes model that allows for stochastic volatility, while...