Events/Seminars/Seminar27

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Thalesian Seminar (London) — Dr. Mike Staunton — Portable Code: FFT Option Pricing in VBA, ExcelDna, VB.NET, C++/CLI, Java, C#, ...

Mike Staunton

Date and Time

7:30 p.m. on Wednesday, 22nd September, 2010.

Venue

Upstairs at City Pride, Canary Wharf, London, UK.

Meetup.com

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/14750096/

Abstract

I’ve found a relatively easy and mainly free way to translate and run my VBA code much quicker by translating it into a variety of the .NET languages. I will demonstrate the translation of the CONV method for pricing Bermudan Puts to create an Excel Add-In then a executable file that will run in Visual Studio both in VB and C++/CLI.

Speaker

Mike Staunton is Director of the London Share Price Database, a research resource of London Business School, where he produces the London Business School Risk Measurement Service. He has taught at universities in the United Kingdom, Hong Kong and Switzerland. Dr Staunton is co-author with Mary Jackson of the best-selling Advanced Modelling in Finance Using Excel and VBA, published by Wiley and writes a regular column for Wilmott magazine. He has had articles published in Journal of Banking & Finance, Financial Analysts Journal, and Journal of the Operations Research Society. His PhD in Finance is from London Business School. With Elroy Dimson and Paul Marsh, he has cornered the market in collecting Global investment Returns since 1900 for 19 different countries. For his sins, he is also a Spurs fan.

Video

No longer available

Slides

To be published here.

Resources

To be published here.

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