The Heston Model and its Extensions in Matlab and C#

The Heston Model and its Extensions in Matlab and C#
Author :
Publisher : John Wiley & Sons
Total Pages : 437
Release :
ISBN-10 : 9781118695173
ISBN-13 : 1118695178
Rating : 4/5 (73 Downloads)

Book Synopsis The Heston Model and its Extensions in Matlab and C# by : Fabrice D. Rouah

Download or read book The Heston Model and its Extensions in Matlab and C# written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2013-08-01 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources. The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations, and shows how to implement implied and local volatility, Fourier methods applied to the model, numerical integration schemes, parameter estimation, simulation schemes, American options, the Heston model with time-dependent parameters, finite difference methods for the Heston PDE, the Greeks, and the double Heston model. A groundbreaking book dedicated to the exploration of the Heston model—a popular model for pricing equity derivatives Includes a companion website, which explores the Heston model and its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management Engaging and informative, this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model, as well as code for parameter estimation, simulation, finite difference methods, American options, and more.


The Heston Model and its Extensions in Matlab and C# Related Books

The Heston Model and its Extensions in Matlab and C#
Language: en
Pages: 437
Authors: Fabrice D. Rouah
Categories: Business & Economics
Type: BOOK - Published: 2013-08-01 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a
The Heston Model and Its Extensions in VBA
Language: en
Pages: 359
Authors: Fabrice D. Rouah
Categories: Business & Economics
Type: BOOK - Published: 2015-04-27 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

Practical options pricing for better-informed investment decisions. The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using
Mathematical and Computational Approaches in Advancing Modern Science and Engineering
Language: en
Pages: 777
Authors: Jacques Bélair
Categories: Computers
Type: BOOK - Published: 2016-08-10 - Publisher: Springer

DOWNLOAD EBOOK

Focusing on five main groups of interdisciplinary problems, this book covers a wide range of topics in mathematical modeling, computational science and applied
Progress in Artificial Intelligence
Language: en
Pages: 815
Authors: Goreti Marreiros
Categories: Computers
Type: BOOK - Published: 2021-09-07 - Publisher: Springer Nature

DOWNLOAD EBOOK

This book constitutes the refereed proceedings of the 20th EPIA Conference on Artificial Intelligence, EPIA 2021, held virtually in September 2021. The 62 full
Advances in Longitudinal Data Methods in Applied Economic Research
Language: en
Pages: 545
Authors: Nicholas Tsounis
Categories: Business & Economics
Type: BOOK - Published: 2021-03-31 - Publisher: Springer Nature

DOWNLOAD EBOOK

This volume presents new methods and applications in longitudinal data estimation methodology in applied economic. Featuring selected papers from the 2020 the I