Quantitative Finance
Collector is a blog on Quantitative finance codes,
methods in math
finance focusing on derivative pricing, quantitative trading
and risk management, with featured entries:
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Mar
20
Option pricing with excel
A nice paper on step-by-step option pricing with excel, VBA codes are included in the paper as well.
The authors first briefly review the principles of pricing by no arbitrage in a binomial tree, and show how this can be implemented in Excel; then move to continuous-time model - Black scholes pricing model; after a short discussion on the parameter estimation issues, they turn to two numerical methods for pricing, which are Monte Carlo simulation and Finite difference for Partial differential equation (PDE); at last, option hedging is introduced, advantages and disadvantages of spreadsheets in general and Excel in particular are analyzed shortly.
Download paper "Option pricing with the Excel" at http://www.math.ku.dk/~rolf/REV.excelpaper.pdf
The authors first briefly review the principles of pricing by no arbitrage in a binomial tree, and show how this can be implemented in Excel; then move to continuous-time model - Black scholes pricing model; after a short discussion on the parameter estimation issues, they turn to two numerical methods for pricing, which are Monte Carlo simulation and Finite difference for Partial differential equation (PDE); at last, option hedging is introduced, advantages and disadvantages of spreadsheets in general and Excel in particular are analyzed shortly.
Download paper "Option pricing with the Excel" at http://www.math.ku.dk/~rolf/REV.excelpaper.pdf
Quant Trading Strategy Demo
Black Scholes on excel
Quantitative Finance Collector is simply a record of my financial engineering learning journey as a master in quantitative finance, a PhD candidate in finance and a Quantitative researcher, with most of the entries written at school. 
