The Heston Model and Its Extensions in Matlab and C#

ISBN: 1118548256

Category: Business

Tag: Economics and Finances


Posted on 2014-01-05. By anonymous.

Description


Fabrice D. Rouah, "The Heston Model and Its Extensions in Matlab and C#"
2013 | ISBN-10: 1118548256 | 432 pages | PDF | 18 MB

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.

Sponsored High Speed Downloads
9258 dl's @ 2773 KB/s
Download Now [Full Version]
7489 dl's @ 2950 KB/s
Download Link 1 - Fast Download
8775 dl's @ 2780 KB/s
Download Mirror - Direct Download



Search More...
The Heston Model and Its Extensions in Matlab and C#

Search free ebooks in ebookee.com!


Links
Download this book

No active download links here?
Please check the description for download links if any or do a search to find alternative books.


Related Books

  1. Ebooks list page : 24517
  2. 2018-01-06[PDF] The Heston Model and its Extensions in Matlab and C#, Website
  3. 2017-10-24[PDF] The Heston Model and Its Extensions in VBA (Wiley Finance)
  4. 2019-01-14The Cox Model and Its Applications
  5. 2019-01-10The Cox Model and Its Applications
  6. 2017-10-10[PDF] The Cox Model and Its Applications (SpringerBriefs in Statistics) - Removed
  7. 2017-10-06[PDF] Multiple Family Therapy: The Marlborough Model and Its Wider Applications (Systemic Thinking and Practice Series)
  8. 2012-03-16Michael Breen - The Meta Model DVD 1-3
  9. 2020-05-19The Linear Model and Hypothesis: A General Unifying Theory (Springer Series in Statistics)
  10. 2020-02-04Higgs Properties at the LHC: Implications for the Standard Model and for Cosmology (Springer Theses)
  11. 2019-12-26Representing IoT Systems with the Actor Model and Akka.NET - Removed
  12. 2019-12-12Precision Measurements to Test the Standard Model and for Explosive Nuclear Astrophysics (Springer Theses)
  13. 2019-12-08Representing IoT Systems with the Actor Model and Akka.NET - Removed
  14. 2019-08-23The Standard Model and Beyond, 2nd Edition
  15. 2019-01-10An Alternative Macroeconomic Theory The Kaleckian Model and Post-Keynesian Economics - Removed
  16. 2019-01-05An Alternative Macroeconomic Theory The Kaleckian Model and Post-Keynesian Economics
  17. 2018-08-06The Physics of the Standard Model and Beyond
  18. 2018-05-04Representing IoT Systems with the Actor Model and Akka.NET - Removed
  19. 2018-01-19[PDF] The Evolution of Englishes: The Dynamic Model and beyond
  20. 2018-01-03[PDF] The Physics of the Standard Model and Beyond

Comments

No comments for "The Heston Model and Its Extensions in Matlab and C#".


    Add Your Comments
    1. Download links and password may be in the description section, read description carefully!
    2. Do a search to find mirrors if no download links or dead links.
    Back to Top