Goossens F. How to Implement Market Models Using VBA

Wiley, 2014. — 311 p. — (Wiley Finance Series). — ISBN: 9781118962008No VBA knowledge is required. The essentials presented in this book should suffice. You must have basic notions of analysis (continuity, derivability, integration) and linear algebra basics (matrix calculus). In the capital markets domain, you must be familiar with vanilla derivatives (forward contracts, European-style options) and, preferably, have some knowledge of the common risk management issues, such as delta or gamma positions. As regards the stochastic calculus theory, this book helps you to apply theory with a practical approach.