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 ...
Read More
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.
Read Less
Add this copy of The Heston Model and Its Extensions in MATLAB and C#, + to cart. $81.00, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2013 by Wiley.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Fine. Trade paperback (US). Glued binding. 432 p. Wiley Finance. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of The Heston Model and Its Extensions in Matlab and C#, + to cart. $81.01, good condition, Sold by RAINBOW-BOOKS rated 4.0 out of 5 stars, ships from Austell, GA, UNITED STATES, published 2013 by Wiley.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Good. The cover is clean but does show some wear. The pages show normal wear and tear. We ship Monday through Saturday and Expedited available-Safe and Secure Bubble Mailer & Shipping is made once checkout.
Add this copy of The Heston Model and Its Extensions in MATLAB and C#, + to cart. $99.77, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2013 by Wiley.
Add this copy of The Heston Model and Its Extensions in Matlab and C# to cart. $104.61, new condition, Sold by BargainBookStores rated 3.0 out of 5 stars, ships from Grand Rapids, MI, UNITED STATES, published 2013 by Wiley.
