Wiley Finance Series
Hoboken, New Jersey: Wiley, 2007
332pp, ISBN: 978-0-470-09859-2
This guide to modeling complex financial structures examines how to use object-oriented VBA in an Excel environment to produce flexible and effective models. It explains object-oriented programming for modeling structured products, and also covers stochastic models, optimization techniques, and object-oriented architecture. It presents models and their implementation, with examples of them in practice, as well as empirical studies of their sensitivities.