How to Implement Market Models Using VBA

Preface
Acknowledgements
Abbreviations
About the Author

1. The Basics of VBA Programming
1.1 Getting started
1.2 VBA objects and syntax
1.2.1 The object–oriented basic syntax
1.2.2 Using objects
1.3 Variables
1.3.1 Variable declaration
1.3.2 Some usual objects
1.3.3 Arrays
1.4 Arithmetic
1.5 Subroutines and functions
1.5.1 Subroutines
1.5.2 Functions
1.5.3 Operations on one–dimensional arrays
1.5.4 Operations on two–dimensional arrays (matrices)
1.5.5 Operations with dates
1.6 Custom objects
1.6.1 Types
1.6.2 Classes
1.7 Debugging
1.7.1 Error handling
1.7.2 Tracking the code execution

2. Mathematical Algorithms
2.1 Introduction
2.2 Sorting lists
2.2.1 Shell sort
2.2.2 Quick sort
2.3 Implicit equations
2.4 Search for extrema
2.4.1 The Nelder–Mead algorithm
2.4.2 The simulated annealing
2.5 Linear algebra
2.5.1 Matrix inversion
2.5.2 Cholesky decomposition
2.5.3 Interpolation
2.5.4 Integration
2.5.5 Principal Component Analysis

3. Vanilla Instruments
3.1 Definitions
3.2 Fixed income
3.2.1 Bond marke
3.2.2 Interbank market
3.3 Vanilla derivatives
3.3.1 Forward contracts
3.3.2 Swaps
3.3.3 Bond futures
3.4 Options basics
3.4.1 Brownian motion
3.4.2 Ito integral
3.4.3 Ito formula
3.4.4 Black Scholes basic model
3.4.5 Risk–neutral probability
3.4.6 Change of probability
3.4.7 Martingale and numeraires
3.4.8 European–style options pricing
3.5 First generation exotic options
3.5.1 Barrier options
3.5.2 Quanto options

4. Numerical Solutions
4.1 Finite differences
4.1.1 Generic equation
4.1.2 Implementation
4.2 Trees
4.2.1 Binomial trees
4.2.2 Trinomial trees
4.3 Monte–Carlo scenarios
4.3.1 Uniform number generator
4.3.2 From uniform to Gaussian numbers
4.4 Simulation and regression
4.5 Double–barrier analytical approximation

5. Monte–Carlo Pricing Issues
5.1 Multi–asset simulation
5.1.1 The correlations issue
5.1.2 The Gaussian case
5.1.3 Exotics 1
5.2 Discretization schemes
5.3 Variance reduction techniques
5.3.1 Antithetic variates
5.3.2 Importance sampling
5.3.3 Control variates

6. Yield Curve Models
6.1 Short rate models
6.1.1 Introduction
6.1.2 Hull and White one–factor model
6.1.3 Gaussian two–factor model
6.1.4 Hull and White two–factor model
6.2 Forward rate models
6.2.1 Generic Heath–Jarrow–Morton
6.2.2 LMM (LIBOR market model

7. Stochastic Volatilities
7.1 The Heston model
7.1.1 Code
7.1.2 A faster algorithm 2
7.1.3 Calibration
7.2 Barrier options
7.2.1 Numerical results
7.2.2 Code
7.3 Asian–style options
7.4 SABR model
7.4.1 Caplets
7.4.2 Code

8. Interest Rate Exotics
8.1 CMS swaps
8.1.1 Code
8.2 Cancelable swaps
8.2.1 Code
8.2.2 Tree approximation
8.3 Target redemption note
8.3.1 Code

Bibliography
Index