How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. Practitioners can gain hands-on expertise of complex valuation issues with an easy-to-learn programming language, whilst avoiding getting too deeply involved in the theory. Author and VBA trainer, François Goossens draws on VBA programming with its accessible code that connects with Excel's easy-to-use spreadsheet format. VBA is an efficient tool to gain fast and in-depth understanding of complex derivatives.

Designed to be an approachable resource with no prior knowledge of VBA required, this practical introductory guide includes information on VBA fundamentals and essential mathematical techniques. The text helps to master the numerical methods to build an algorithm that can be used to solve a wide range of pricing problems.

How to Implement Market Models Using VBA contains information on general algorithms, vanilla instruments, multi-asset instruments, yield curve models, interest rate exotics, and more. The author offers practitioners the opportunity to check their knowledge of Capital Market fundamentals. For VBA novices, he provides training exercises to put VBA techniques, such as loops, into practice. The text deals with numerical solutions that are called for when no analytical solution is available: simply put, it fixes 99% of problems.

Goossens reviews classes of assets that are valued using Monte-Carlo simulation methods and covers multi-asset and path-dependent instruments. The text explores variance reduction techniques and addresses widely used yield curve models and critical calibration issues. The author also includes information on the Hull & White and Gaussian short rate models, Heath-Jarrow-Morton, and Libor Market forward rates curve models.

Heston's popular standard stochastic volatility model is presented in detail and includes recipes to help tackle exotic pricings. Finally, the author outlines the curve modellings that are applied in order to implement numerical algorithms aimed at some standard interest rates' exotics such as CMS Swaps, Cancelable Swaps and Target Redemption Notes. The solutions derived from different models or numerical methods are compared.

Written for finance professionals, How to Implement Market Models Using VBA brings more accurate modelling within reach of anyone with an interest in the market. For clearer code, patient explanation, and practical instruction, this important resource is an essential introductory guide.