VBA introduction - Finite Differences and Root-Finding algorithms; practical exercises - Review of stochastic calculus: Markov properties, Martingale, Brownian motion, Ito's lemma, types of random walks; practical exercises - Price of derivatives with numerical models: theoretical principles, binomial model; practical exercises - Price of derivatives with Monte Carlo methodology: steps for Monte Carlo simulation, log-normal Euler discretization, barrier options, American options; practical exercises - Multi-asset derivatives: Monte Carlo with multi-asset derivatives, Cholesky factorization; practical exercises.

Anna Maria D'Arcangelis, Silvia Patacchini, Felice Bruno - VBA per la finanza - 2018 - Maggioli Editore
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