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The Heston Model and its Extensions in Matlab and C#, + Website by Fabrice D. Ro
US $108.07
Approximately£85.10
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Located in: Fairfield, Ohio, United States
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eBay item number:364451062122
Item specifics
- Condition
- ISBN-13
- 9781118548257
- Type
- NA
- Publication Name
- NA
- ISBN
- 9781118548257
- Book Title
- Heston Model and Its Extensions in Matlab and C#, + Website
- Item Length
- 9.9in
- Publisher
- Wiley & Sons, Incorporated, John
- Publication Year
- 2013
- Format
- Trade Paperback
- Language
- English
- Item Height
- 0.9in
- Genre
- Computers, Business & Economics
- Topic
- Mathematical & Statistical Software, Finance / General, Investments & Securities / Options, Programming Languages / C
- Item Width
- 7in
- Item Weight
- 26.5 Oz
- Number of Pages
- 432 Pages
About this product
Product Information
Praise for The Heston Model and Its Extensions in Matlab and C# "In his excellent new book, Fabrice Rouah provides a careful presentation of all aspects of the Heston model, with a strong emphasis on getting the model up and running in practice. This highly practical and useful book is recommended for anyone working with stochastic volatility models." Leif B. G. Andersen, Bank of America Merrill Lynch "Without a doubt, Fabrice provides a very valuable contribution to quantitative analysts interested in pricing options with state-of-the art techniques." Marco Avellaneda, New York University "The Heston model is one of the great success stories of academic finance. Rouah's impressive book provides users with all the tools required to implement the Heston model, and wonderfully bridges the gap between academia and practice." Peter Christoffersen, University of Toronto "In this encyclopedic work, the author takes delight in exploring every aspect of the Heston model. Together with its included Matlab and C# code, this book will prove invaluable to anyone interested in option pricing. I highly recommend it." Jim Gatheral, Baruch College author of The Volatility Surface: A Practitioner's Guide "This is the most extensive work on the Heston model I have seen: derivations, implementations, and discussions. For anyone interested in the Heston model and its variations, this is an important book to have!" Espen Gaarder Haug, Norwegian University of Life Sciences author of Derivatives Models on Models "Rouah offers a unique and much needed synthesis of the literature regarding Heston's model of stochastic volatility. The author has accomplished the formidable task of presenting a large body of published academic and industrial research in a coherent, thorough, and very reader-friendly manner." Andrew Lesniewski, DTCC "Beyond Black-Scholes, the Heston model is arguably the most important model in quantitative finance and certainly deserves its own book. Rouah provides here a comprehensive treatment clearly discussing all the major issues, later extensions, and subtle traps." Alan L. Lewis, PhD, author of Option Valuation Under Stochastic Volatility: With Mathematica Code
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
1118548256
ISBN-13
9781118548257
eBay Product ID (ePID)
160012521
Product Key Features
Book Title
Heston Model and Its Extensions in Matlab and C#, + Website
Format
Trade Paperback
Language
English
Topic
Mathematical & Statistical Software, Finance / General, Investments & Securities / Options, Programming Languages / C
Publication Year
2013
Genre
Computers, Business & Economics
Number of Pages
432 Pages
Dimensions
Item Length
9.9in
Item Height
0.9in
Item Width
7in
Item Weight
26.5 Oz
Additional Product Features
Lc Classification Number
Hg6024.A3
Table of Content
Foreword ix Preface xi Acknowledgments xiii CHAPTER 1 The Heston Model for European Options 1 Model Dynamics 1 The European Call Price 4 The Heston PDE 5 Obtaining the Heston Characteristic Functions 10 Solving the Heston Riccati Equation 12 Dividend Yield and the Put Price 17 Consolidating the Integrals 18 Black-Scholes as a Special Case 19 Summary of the Call Price 22 Conclusion 23 CHAPTER 2 Integration Issues, Parameter Effects, and Variance Modeling 25 Remarks on the Characteristic Functions 25 Problems With the Integrand 29 The Little Heston Trap 31 Effect of the Heston Parameters 34 Variance Modeling in the Heston Model 43 Moment Explosions 56 Bounds on Implied Volatility Slope 57 Conclusion 61 CHAPTER 3 Derivations Using the Fourier Transform 63 The Fourier Transform 63 Recovery of Probabilities With Gil-Pelaez Fourier Inversion 65 Derivation of Gatheral (2006) 67 Attari (2004) Representation 69 Carr and Madan (1999) Representation 73 Bounds on the Carr-Madan Damping Factor and Optimal Value 76 The Carr-Madan Representation for Puts 82 The Representation for OTM Options 84 Conclusion 89 CHAPTER 4 The Fundamental Transform for Pricing Options 91 The Payoff Transform 91 The Fundamental Transform and the Option Price 92 The Fundamental Transform for the Heston Model 95 Option Prices Using Parseval''s Identity 100 Volatility of Volatility Series Expansion 108 Conclusion 113 CHAPTER 5 Numerical Integration Schemes 115 The Integrand in Numerical Integration 116 Newton-Cotes Formulas 116 Gaussian Quadrature 121 Integration Limits and Kahl and J ¨ ackel Transformation 130 Illustration of Numerical Integration 136 Fast Fourier Transform 137 Fractional Fast Fourier Transform 141 Conclusion 145 CHAPTER 6 Parameter Estimation 147 Estimation Using Loss Functions 147 Speeding up the Estimation 158 Differential Evolution 162 Maximum Likelihood Estimation 166 Risk-Neutral Density and Arbitrage-Free Volatility Surface 170 Conclusion 175 CHAPTER 7 Simulation in the Heston Model 177 General Setup 177 Euler Scheme 179 Milstein Scheme 181 Milstein Scheme for the Heston Model 183 Implicit Milstein Scheme 185 Transformed Volatility Scheme 188 Balanced, Pathwise, and IJK Schemes 191 Quadratic-Exponential Scheme 193 Alfonsi Scheme for the Variance 198 Moment Matching Scheme 201 Conclusion 202 CHAPTER 8 American Options 205 Least-Squares Monte Carlo 205 The Explicit Method 213 Beliaeva-Nawalkha Bivariate Tree 217 Medvedev-Scaillet Expansion 228 Chiarella and Ziogas American Call 253 Conclusion 261 CHAPTER 9 Time-Dependent Heston Models 263 Generalization of the Riccati Equation 263 Bivariate Characteristic Function 264 Linking the Bivariate CF and the General Riccati Equation 269 Mikhailov and No¨ gel Model 271 Elices Model 278 Benhamou-Miri-Gobet Model 285 Black-Scholes Derivatives 299 Conclusion 300 CHAPTER 10 Methods for Finite Differences 301 The PDE in Terms of an Operator 301 Building Grids 302 Finite Difference Approximation of Derivatives 303 The Weighted Method 306 Boundary Conditions for the PDE 315 Explicit Scheme 316 ADI Schemes 321 Conclusion 325 CHAPTER 11 The Heston Greeks 327 Analytic Expressions for European Greeks 327 Finite Differences for the Greeks 332 Numerical Implementation of the Greeks 333 Greeks Under the Attari and Carr-Madan Formulations 339 Greeks Under the Lewis Formulations 343 Greeks Using the FFT and FRFT 345 American Greeks Using Simulation 346 American Greeks Using the Explicit Method 349 American Greeks from Medvedev and Scaillet 352 Conclusion 354 CHAPTER 12 The Double Heston Model 357 Multi-Dimensional Feynman-KAC Theorem 357 Double Heston Call Price 358 Double Heston Greeks 363 Parameter Estimation 368 Simulation in the Double Heston Model 373 American Options in the Double Heston Model 380 Conclusion 382 Bibliography 383 About the Website 391 Index 397
Copyright Date
2013
Dewey Decimal
332.6453028553
Intended Audience
Trade
Series
Wiley Finance Ser.
Dewey Edition
23
Illustrated
Yes
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