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The Heston Model and Its Extensions in Matlab and ... - a book by Rouah, Fabrice D.

The Heston Model and Its Extensions in Matlab and C#

The Heston Model and Its Extensions in Matlab and C#( )
Author: Rouah, Fabrice D.
Foreword by: Heston, Steven L.
Series title:Wiley Finance Ser.
ISBN:978-1-118-69517-3
Publication Date:Aug 2013
Publisher:John Wiley & Sons, Incorporated
Book Format:Ebook
List Price:Contact Supplier contact
Book Description:

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...
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