Rouah The Heston Model and its Extensions in Matlab and C#

1. Auflage 2013
ISBN: 978-1-118-69517-3
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 432 Seiten, E-Book

Reihe: Wiley Finance Editions

Tap into the power of the most popular stochastic volatilitymodel for pricing equity derivatives
Since its introduction in 1993, the Heston model has become apopular model for pricing equity derivatives, and the most popularstochastic volatility model in financial engineering. This vitalresource provides a thorough derivation of the original model, andincludes the most important extensions and refinements that haveallowed the model to produce option prices that are more accurateand volatility surfaces that better reflect market conditions. Thebook's material is drawn from research papers and many of themodels covered and the computer codes are unavailable from othersources.
The book is light on theory and instead highlights theimplementation of the models. All of the models found here havebeen coded in Matlab and C#. This reliable resource offers anunderstanding of how the original model was derived from Ricattiequations, and shows how to implement implied and local volatility,Fourier methods applied to the model, numerical integrationschemes, parameter estimation, simulation schemes, Americanoptions, the Heston model with time-dependent parameters, finitedifference methods for the Heston PDE, the Greeks, and the doubleHeston model.
* A groundbreaking book dedicated to the exploration of theHeston model--a popular model for pricing equityderivatives
* Includes a companion website, which explores the Heston modeland its extensions all coded in Matlab and C#
* Written by Fabrice Douglas Rouah a quantitative analyst whospecializes in financial modeling for derivatives for pricing andrisk management
Engaging and informative, this is the first book to dealexclusively with the Heston Model and includes code in Matlab andC# for pricing under the model, as well as code for parameterestimation, simulation, finite difference methods, Americanoptions, and more.

Autoren/Hrsg.

Rouah, Fabrice D.

Weitere Mitwirkende

Heston, Steven L.

Über Autor(innen)

FABRICE DOUGLAS ROUAH is a quantitative analyst who specializes in financial modeling of derivatives for pricing and risk management at Sapient Global Markets, a global consultancy. Prior to joining Sapient, Rouah worked at State Street Corporation and McGill University. He is the coauthor and/or coeditor of five books on hedge funds, commodity trading advisors, and option pricing. Rouah holds a PhD in finance and an MSc in statistics from McGill University, and a BSc in applied mathematics from Concordia University.