Options Pricing Models and Volatility Using Excel-VBA

Title
 Copyright
 Dedication
 Preface
 Chapter 1: Mathematical Preliminaries
 Introduction
 Complex Numbers
 Finding Roots of Functions
 OLS and WLS
 Nelder-Mead Algorithm
 Maximum Likelihood Estimation
 Cubic Spline Interpolation
 Summary
 Exercises
 Solutions to Exercises
 Chapter 2: Numerical Integration
 Introduction
 Newton-Coates Formulas
 Implementing Newton-Cotes Formulas in VBA
 Gaussian Quadratures
 Summary
 Exercises
 Solution to Exercises
 Appendix
 Chapter 3: Tree-Based Methods
 Introduction
 CRR Binomial Tree
 Leisen-Reimer Binomial Tree
 Edgeworth Binomial Tree. Flexible Binomial TreeTrinomial Tree
 Adaptive Mesh Method
 Comparing Trees
 Implied Volatility Trees
 Allowing for Dividends and The Cost-of-Carry
 Summary
 Exercises
 Solutions to Exercises
 Chapter 4: The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models
 Introduction
 The Black-Scholes Model
 Implied Volatility and The DVF
 The Practitioner Black-Scholes Model
 The Gram-Charlier Model
 Summary
 Exercises
 Solutions to Exercises
 Chapter 5: The Heston (1993) Stochastic Volatility Model
 Introduction
 The Heston (1993) Model
 Increasing Integration Accuracy. The Fundamental TransformSensitivity Analysis
 Summary
 Exercises
 Solutions to Exercises
 Appendix
 Chapter 6: The Heston and Nandi (2000) GARCH Model
 Introduction
 Persistent Volatility in Asset Returns
 Garch Variance Modeling
 The Heston and Nandi (2000) Model
 Summary
 Exercises
 Solutions to Exercises
 Chapter 7: The Greeks
 Introduction
 Black-Scholes Greeks
 Greeks From The Trees
 Greeks From The Gram-Charlier Model
 Greeks From The Heston (1993) Model
 Greeks From The Heston and Nandi (2000) Model
 Greeks By Finite Differences
 Summary
 Exercises
 Solutions to Exercises
 Appendix. Chapter 8: Exotic OptionsIntroduction
 Single-Barrier Options
 Digital Options
 Asian Options
 Floating-Strike Lookback Options
 Summary
 Exercises
 Solutions to Exercises
 Chapter 9: Parameter Estimation
 Introduction
 Unconditional Moments
 Maximum Likelihood for Garch Models
 Estimation by Loss Functions
 Other Estimation Methods
 Summary
 Exercises
 Solutions to Exercises
 Chapter 10: Implied Volatility
 Introduction
 Obtaining Implied Volatility
 Explaining Smiles and Smirks
 Summary
 Exercises
 Solutions to Exercises
 Chapter 11: Model-Free Implied Volatility
 Introduction. Theoretical FoundationImplementation
 Interpolation-Extrapolation Method
 Model-Free Implied Forward Volatility
 The Vix Index
 Summary
 Exercises
 Chapter 12: Model-Free Higher Moments
 Introduction
 Theoretical Foundation
 Implementation
 Verifying Implied Moments
 Gram-Charlier Implied Moments
 Summary
 Exercises
 Solutions to Exercises
 Chapter 13: Volatility Returns
 Introduction
 Straddle Returns
 Delta-Hedged Gains
 Volatility Exposure
 Variance Swaps
 Summary
 Exercises
 Solutions to Exercises
 Appendix A: A VBA Primer
 References
 About the CD-ROM
 About the Authors
 Index.