Option Pricing Models and Volatility Using Excel-VBA: 361 (Wiley Finance) Paperback – Illustrated, 29 Mar. 2007

This book fills in a huge gap, explaining practicalities of implementation of many classical numerical algorithms and financial models with working Excel examples for each. The authors do not go into too much detail in theoretical derivations, but this isn't necessary - there are ample sources with derivations and wider explanations for each model. What they do though is providing an excellent starting point for the reader to do their own analysis of different modelling assumptions and see how it works and what is better. If you are a student or beginner in financial modelling - buy this book, you will never regret.

I bought this book with the hope to see option pricing models implemented. However many models aren't covered, including "local volatility" which is really almost a standard model. The Heston model is covered but no "jump diffusion" models and no "stochastic volatility with jump diffusion" models which have become the standard for fitting the entire fwd vol surface.The very important process of model calibration is not covered either.The names for some models aren't standard which can be confusing at times, and as one reviewer above mentioned the VBA code is sloppy.Seeing as many useful models aren't covered, no mention is made of calibration and that the VBA code can't just be "copied and pasted", the book doesn't make sense to me. You have to comb through the code to find errors during which time you may as well have written it yourself. And after going through the calibration process yourself and the work that requires, you may well want to write your own code anyway.Unfortunately my conclusion is that the financial maths in this book isn't quite to the standard of others and the VBA code doesn't make up for it.

I found that the book has a few interesting practical topics not treated in other books I have read so far.To me what is very valuable for this kind of book is the source code and after reading a few samples I have to say that the source code is poorly written. Variables are not defined, function parameters are not defined, many variables in the body of functions are not used, no coding convention has been used, error handling is non existant, etc. It is a shame as I feel this makes the code truly hard to read, incredibly hard to debug or maintain in the future if you ever use it and not trustworthy overall.I do not regret buying the book. I simply wish the code would have been reviewed by a professional software developer.