The object structure of VBA Data types in VBA Using Excel's ...

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VBA for Financial Engineering (4 hours). Description. New short course aimed at incoming MFE students and outside finance professionals. Objective is to.
VBA FOR FINANCIAL ENGINEERING Domingo Tavella, PhD 2015 Syllabus This intensive three-session course is intended to give MFE students and practicing professionals command of the most relevant elements of VBA-Excel as the most important calculation tool in the practice of Financial Engineering. Emphasis will be on VBA programming, details that are relevant to pricing and risk management issues, with Excel as a display device. TOPICS COVERED Building a simple Excel interface VBA classes and objects Accessing and manipulating ranges Vectors and matrices in VBA Exploiting sheet functionality in matrix algebra Random number generation in VBA Objects array and objects collections in VBA VBA error handling VBA shell calls User defined functions Creating your own Add-Ins The Solver system and its applications Projects and class work Depending on time availability, participants will carry out guided in-class exercises At completion of the course, participants are expected to work out at least two out of three projects - these projects are for the participants own edification and will not be graded Project 1: Creating Add-In for option pricing Project 2: Using Solver for optimal portfolio design Project 3: Building a simple stochastic simulator Reference materials Comprehensive self-contained notes will be provided 1. Introduction to Calculus and Analysis, Vol. I and II by Courant and John (John Wiley and Sons) 2. Mathematics for Economics by Michael Hoy et al. (MIT Press) 3. Financial Calculus by Maring Baxter and Andrew Rennie (Cambridge University Press) 4. Numerical Recipes in C/C++ by William H. Press et al. (Cambridge University Press) Requirements Participants are expected to have basic knowledge of Excel and some familiarity with programming No prior experience with VBA is required For optimal completion of projects, participants will benefit from the background given in Mathematical Foundations for Financial Engineering and Statistics for Financial Engineering Completion criterion There is no grading, but active participation is required for completion certificate.