The Heston model and its extensions in Matlab and C♯
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The Heston model and its extensions in Matlab and C♯
0
Type: Book
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…
Accompanying computer optical disc contains 'demos of commercial software, spreadsheets and code illustrating models and methods from the book, cutting-edge research articles ..., data document and demo from CrashMetrics, the Value at Risk methodology'. (book).
This text provides an analysis of all aspects of derivatives and does not require a prior detailed knowledge of financial markets. In each chapter, the reader is first introduced to the market segment or particular product being discussed before having simple maths and market pr…
"A unique, in-depth guide to options pricing and valuing theirgreeks, along with a four dimensional approach towards the impactof changing market circumstances on optionsHow to Calculate Options Prices and Their Greeks is the onlybook of its kind, showing you how to value option…
Option Pricing in a Nutshell The super-replication paradigmStochastic representation of solutions of linear PDEsMonte Carlo The Monte Carlo method Euler discretization error Romberg extrapolationSome Excursions in Option Pricing Complete market modelsBeyond replication and super…