Электронная книга: Steven Heston L. «The Heston Model and its Extensions in Matlab and C#»
|
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 managementEngaging 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. Издательство: "John Wiley&Sons Limited (USD)"
ISBN: 9781118695180 электронная книга Купить за 8780.33 руб и скачать на Litres |
Другие книги схожей тематики:
| Автор | Книга | Описание | Год | Цена | Тип книги |
|---|
См. также в других словарях:
Steven Barkan — (born 1951) is an American sociologist. Currently he is a Professor at the University of Maine, serving as the chairperson of the Sociology department there. Life and career The son of Morris and Sylvia Barkan, Barkan grew up in Philadelphia. He… … Wikipedia
Heston model — In finance, the Heston model is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even… … Wikipedia
Charlton Heston — Heston at the 1963 Civil Rights March on Washington Born John Charles Carter October 4, 1923(1923 10 04) … Wikipedia
¡Fenomenoide! — Steven Spielberg Presents: Freakazoid! Título Fenomenoide Género Serie animada Creado por Steven Spielberg Bruce Timm Paul Dini Presentado por Warner Bros. Animation, Amblin Entertainment País de origen … Wikipedia Español
Liste von Kriegsfilmen — Es ist teilweise umstritten, welche Spielfilme als „Kriegsfilme“ gelten können. Wie im Hauptartikel Kriegsfilm dargelegt, gibt es die Auffassung, nur die Thematisierung moderner Kriege rechtfertige das Etikett „Kriegsfilm“. Hiervon abweichend… … Deutsch Wikipedia
Planet of the Apes (2001 film) — Infobox Film name = Planet of the Apes director = Tim Burton producer = Richard D. Zanuck Ralph Winter Iain Smith writer = Screenplay: William Broyles Jr. Lawrence Konner Mark Rosenthal Novel: Pierre Boulle starring = Mark Wahlberg Tim Roth… … Wikipedia
