Nick Webber – författare

Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models-both those actively used in practice as well as theoretical models still 'waiting in the wings'. Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds. Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout, making it an ideal resource for both practitioners and researchers.

This book offers an accessible introduction to the dynamic intersection between history and games, and the flourishing discipline of Historical Game Studies. From the representation of the past found in games with historical themes and settings- both digital and analogue- to the histories we might write about games, their development, use and the cultures and discourses that surround them, these methods offer something very new to the study of history.How do we approach games as objects of historical study, or as ways of creating narratives and representations of the past? What methods and approaches do we need to account for when understanding the complex and multifaceted histories of games, as well as the myriad ways in which games have and continue to engage with history? Writing Game Histories answers these questions and more, offering the perfect guide to this rapidly growing and increasingly popular field of research, and provides an invaluable resource for considering its future.

This book offers an accessible introduction to the dynamic intersection between history and games, and the flourishing discipline of Historical Game Studies. From the representation of the past found in games with historical themes and settings- both digital and analogue- to the histories we might write about games, their development, use and the cultures and discourses that surround them, these methods offer something very new to the study of history.How do we approach games as objects of historical study, or as ways of creating narratives and representations of the past? What methods and approaches do we need to account for when understanding the complex and multifaceted histories of games, as well as the myriad ways in which games have and continue to engage with history? Writing Game Histories answers these questions and more, offering the perfect guide to this rapidly growing and increasingly popular field of research, and provides an invaluable resource for considering its future.

This book offers an accessible introduction to the dynamic intersection between history and games, and the flourishing discipline of Historical Game Studies. From the representation of the past found in games with historical themes and settings- both digital and analogue- to the histories we might write about games, their development, use and the cultures and discourses that surround them, these methods offer something very new to the study of history.How do we approach games as objects of historical study, or as ways of creating narratives and representations of the past? What methods and approaches do we need to account for when understanding the complex and multifaceted histories of games, as well as the myriad ways in which games have and continue to engage with history? Writing Game Histories answers these questions and more, offering the perfect guide to this rapidly growing and increasingly popular field of research, and provides an invaluable resource for considering its future.

This book offers an accessible introduction to the dynamic intersection between history and games, and the flourishing discipline of Historical Game Studies. From the representation of the past found in games with historical themes and settings- both digital and analogue- to the histories we might write about games, their development, use and the cultures and discourses that surround them, these methods offer something very new to the study of history.How do we approach games as objects of historical study, or as ways of creating narratives and representations of the past? What methods and approaches do we need to account for when understanding the complex and multifaceted histories of games, as well as the myriad ways in which games have and continue to engage with history? Writing Game Histories answers these questions and more, offering the perfect guide to this rapidly growing and increasingly popular field of research, and provides an invaluable resource for considering its future.