The Heston model and its extensions in Matlab and C#:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
2013
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Beschreibung: | Includes bibliographical references and index The Heston model for European options -- Integration issues, parameter effects, and variance modeling -- Derivations using the Fourier transform -- The fundamental approach to pricing options -- Numerical Integration Schemes -- Parameter Estimation -- Simulation in the Heston Model -- American Options -- Time-Dependent Heston Models -- Methods for Finit Differences -- The Heston Greeks -- The Double Heston Model 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. |
| Beschreibung: | XIII, 411 S. graph. Darst. |
| ISBN: | 1118656474 1118695135 1118695178 9781118548257 9781118695135 9781118695173 |
Internformat
MARC
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| 100 | 1 | |a Rouah, Fabrice |d 1964- |e Verfasser |0 (DE-588)137369336 |4 aut | |
| 245 | 1 | 0 | |a The Heston model and its extensions in Matlab and C# |c Fabrice Douglas Rouah |
| 264 | 1 | |a Hoboken, New Jersey |b Wiley |c 2013 | |
| 300 | |a XIII, 411 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a The Heston model for European options -- Integration issues, parameter effects, and variance modeling -- Derivations using the Fourier transform -- The fundamental approach to pricing options -- Numerical Integration Schemes -- Parameter Estimation -- Simulation in the Heston Model -- American Options -- Time-Dependent Heston Models -- Methods for Finit Differences -- The Heston Greeks -- The Double Heston Model | ||
| 500 | |a 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. | ||
| 630 | 0 | 4 | |a MATLAB. |
| 650 | 7 | |a BUSINESS & ECONOMICS / Investments & Securities / General |2 bisacsh | |
| 650 | 7 | |a MATLAB. |2 fast | |
| 650 | 7 | |a C# (Computer program language) |2 fast | |
| 650 | 7 | |a Finance / Mathematical models |2 fast | |
| 650 | 7 | |a Options (Finance) / Mathematical models |2 fast | |
| 650 | 7 | |a Options (Finance) / Prices |2 fast | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Options (Finance) / Mathematical models | |
| 650 | 4 | |a Options (Finance) / Prices | |
| 650 | 4 | |a Finance / Mathematical models | |
| 650 | 4 | |a C# (Computer program language) | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 1-118-69518-6 |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-1-118-65647-1 |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-1-118-69518-0 |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027221680 | ||
Datensatz im Suchindex
| _version_ | 1804152087286644736 |
|---|---|
| any_adam_object | |
| author | Rouah, Fabrice 1964- |
| author_GND | (DE-588)137369336 |
| author_facet | Rouah, Fabrice 1964- |
| author_role | aut |
| author_sort | Rouah, Fabrice 1964- |
| author_variant | f r fr |
| building | Verbundindex |
| bvnumber | BV041775774 |
| ctrlnum | (OCoLC)892337759 (DE-599)BVBBV041775774 |
| dewey-full | 332.64/53028553 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/53028553 |
| dewey-search | 332.64/53028553 |
| dewey-sort | 3332.64 853028553 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV041775774 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:05:08Z |
| institution | BVB |
| isbn | 1118656474 1118695135 1118695178 9781118548257 9781118695135 9781118695173 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027221680 |
| oclc_num | 892337759 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-83 |
| owner_facet | DE-19 DE-BY-UBM DE-83 |
| physical | XIII, 411 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Rouah, Fabrice 1964- Verfasser (DE-588)137369336 aut The Heston model and its extensions in Matlab and C# Fabrice Douglas Rouah Hoboken, New Jersey Wiley 2013 XIII, 411 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references and index The Heston model for European options -- Integration issues, parameter effects, and variance modeling -- Derivations using the Fourier transform -- The fundamental approach to pricing options -- Numerical Integration Schemes -- Parameter Estimation -- Simulation in the Heston Model -- American Options -- Time-Dependent Heston Models -- Methods for Finit Differences -- The Heston Greeks -- The Double Heston Model 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. MATLAB. BUSINESS & ECONOMICS / Investments & Securities / General bisacsh MATLAB. fast C# (Computer program language) fast Finance / Mathematical models fast Options (Finance) / Mathematical models fast Options (Finance) / Prices fast Mathematisches Modell Wirtschaft Options (Finance) / Mathematical models Options (Finance) / Prices Finance / Mathematical models C# (Computer program language) Erscheint auch als Online-Ausgabe 1-118-69518-6 Erscheint auch als Online-Ausgabe 978-1-118-65647-1 Erscheint auch als Online-Ausgabe 978-1-118-69518-0 |
| spellingShingle | Rouah, Fabrice 1964- The Heston model and its extensions in Matlab and C# MATLAB. BUSINESS & ECONOMICS / Investments & Securities / General bisacsh MATLAB. fast C# (Computer program language) fast Finance / Mathematical models fast Options (Finance) / Mathematical models fast Options (Finance) / Prices fast Mathematisches Modell Wirtschaft Options (Finance) / Mathematical models Options (Finance) / Prices Finance / Mathematical models C# (Computer program language) |
| title | The Heston model and its extensions in Matlab and C# |
| title_auth | The Heston model and its extensions in Matlab and C# |
| title_exact_search | The Heston model and its extensions in Matlab and C# |
| title_full | The Heston model and its extensions in Matlab and C# Fabrice Douglas Rouah |
| title_fullStr | The Heston model and its extensions in Matlab and C# Fabrice Douglas Rouah |
| title_full_unstemmed | The Heston model and its extensions in Matlab and C# Fabrice Douglas Rouah |
| title_short | The Heston model and its extensions in Matlab and C# |
| title_sort | the heston model and its extensions in matlab and c |
| topic | MATLAB. BUSINESS & ECONOMICS / Investments & Securities / General bisacsh MATLAB. fast C# (Computer program language) fast Finance / Mathematical models fast Options (Finance) / Mathematical models fast Options (Finance) / Prices fast Mathematisches Modell Wirtschaft Options (Finance) / Mathematical models Options (Finance) / Prices Finance / Mathematical models C# (Computer program language) |
| topic_facet | MATLAB. BUSINESS & ECONOMICS / Investments & Securities / General C# (Computer program language) Finance / Mathematical models Options (Finance) / Mathematical models Options (Finance) / Prices Mathematisches Modell Wirtschaft |
| work_keys_str_mv | AT rouahfabrice thehestonmodelanditsextensionsinmatlabandc |