VBA for Financial Modeling (Monte carlo, VAR, BS, Copulas)

[shivgan joshi]

Hi,

Anyone knows any advanced VBA course that covers: Monte carlo, VAR, BS, Copulas pricing cdo, pricing exotic options, Modified BS models, EVT distributions, V-lookup, long data tables etc?

I know basics of VBA but these models run into many sheets, 15-20 Mb of excel file with thousand or rows and 100s of thousands of data points.

 

[Cam Connor]

My advice would be to do this with software that is not Excel. You can do it with excel, but I find languages such as R are much better equipped to deal with this type of work.

 

[Cam Connor]

Also, R is free and very easy to learn (y)

 

[shivgan joshi]

Also, R is free and very easy to learn (y)

Hi Cam,

Thanks for the help, but the problem is that my company uses VBA so they are not going to change it. I have to master VBA and have no other options.

I have learned some MATLAB toolbox which were very easy like: Symbolic computation, database, optimization, statistical, other. I tried to put my hands on polynomials, optimization, integration and differentiation .

But the help files and methods to program very easy, defined, explained. nothing liks that exist in VBA hence I am finding it tough.

Also I have learn debugging like removing dead ends, blanks cells, cylic references using VBA. Thus VBA has become a necessity for the job.