The Heston model and its extensions in Matlab and C♯ /

• Κύριος συγγραφέας: Rouah, Fabrice, 1964-
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, New Jersey : John Wiley & Sons, Inc., [2013]
• Σειρά: Wiley finance series.
• Θέματα: MATLAB.; Options (Finance) > Mathematical models.; Options (Finance) > Prices.; Finance > Mathematical models.; C# (Computer program language); BUSINESS & ECONOMICS > Investments & Securities > General.; C♯ (Computer program language); Electronic books.

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...

Πίνακας περιεχομένων:

• The Heston model for European options
• Integration issues, parameter effects, and variance modeling
• Derivations using the Fourier transform
• The fundamental approach to pricing options.