VBA Programming

ECTS : 3

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

• Classic Black-Scholes formula
• Put-Call parity
• "Greeks" computing

• 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)

• 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.