The Heston model and its extensions in VBA:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
2015
|
| Schriftenreihe: | Wiley finance
|
| Schlagworte: | |
| Online-Zugang: | FRO01 UBG01 Volltext |
| Beschreibung: | and IJK Schemes Quadratic-Exponential Scheme Alfonsi Scheme for the Variance Moment Matching Scheme Conclusion Chapter 8: American Options Least-Squares Monte Carlo The Explicit Method Beliaeva-Nawalkha Bivariate Tree Medvedev-Scaillet Expansion Chiarella and Ziogas American Call Conclusion Chapter 9: Time-Dependent Heston Models Generalization of the Riccati Equation Bivariate Characteristic Function Linking the Bivariate CF and the General Riccati Equation Mikhailov and Nogel Model Elices Model Benhamou-Miri-Gobet Model Black-Scholes Derivatives Conclusion Chapter 10: Methods for Finite Differences The PDE in Terms of an Operator Building Grids Finite Difference Approximation of Derivatives Boundary Conditions for the PDE The Weighted Method Explicit Scheme ADI Schemes Conclusion Chapter 11: The Heston Greeks Analytic Expressions for European Greeks Finite Differences for the Greeks Numerical Implementation of the Greeks Greeks Under the Attari and Carr-Madan Formulations Greeks . - "Practical options pricing for better-informed investment decisions.The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools--the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently--and accurately--exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not only on the original Heston model, but also on the many enhancements and refinements that have been applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets.The Heston model is the derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete guidance toward the successful implementation of this valuable model using the industry's ubiquitous financial modeling software, giving users the understanding--and VBA code--they need to produce option prices that are more accurate, and volatility surfaces that more closely reflect market conditions.Derivatives pricing is often the hinge on which profit is made or lost in financial institutions, making accuracy of utmost importance. This book will help risk managers, traders, portfolio managers, quants, academics and other professionals better understand the Heston model and its extensions, in a writing style that is clear, concise, transparent and easy to understand. For better pricing accuracy, The Heston Model and Its Extensions in VBA is a crucial resource for producing more accurate model outputs such as prices, hedge ratios, volatilities, and graphs"-- Includes bibliographical references and index |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 1119003318 1119003326 1119020522 9781119003311 9781119003328 9781119020523 |
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| 500 | |a and IJK Schemes Quadratic-Exponential Scheme Alfonsi Scheme for the Variance Moment Matching Scheme Conclusion Chapter 8: American Options Least-Squares Monte Carlo The Explicit Method Beliaeva-Nawalkha Bivariate Tree Medvedev-Scaillet Expansion Chiarella and Ziogas American Call Conclusion Chapter 9: Time-Dependent Heston Models Generalization of the Riccati Equation Bivariate Characteristic Function Linking the Bivariate CF and the General Riccati Equation Mikhailov and Nogel Model Elices Model Benhamou-Miri-Gobet Model Black-Scholes Derivatives Conclusion Chapter 10: Methods for Finite Differences The PDE in Terms of an Operator Building Grids Finite Difference Approximation of Derivatives Boundary Conditions for the PDE The Weighted Method Explicit Scheme ADI Schemes Conclusion Chapter 11: The Heston Greeks Analytic Expressions for European Greeks Finite Differences for the Greeks Numerical Implementation of the Greeks Greeks Under the Attari and Carr-Madan Formulations Greeks . - | ||
| 500 | |a "Practical options pricing for better-informed investment decisions.The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools--the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently--and accurately--exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not only on the original Heston model, but also on the many enhancements and refinements that have been applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. | ||
| 500 | |a The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets.The Heston model is the derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete guidance toward the successful implementation of this valuable model using the industry's ubiquitous financial modeling software, giving users the understanding--and VBA code--they need to produce option prices that are more accurate, and volatility surfaces that more closely reflect market conditions.Derivatives pricing is often the hinge on which profit is made or lost in financial institutions, making accuracy of utmost importance. This book will help risk managers, traders, portfolio managers, quants, academics and other professionals better understand the Heston model and its extensions, in a writing style that is clear, concise, transparent and easy to understand. | ||
| 500 | |a For better pricing accuracy, The Heston Model and Its Extensions in VBA is a crucial resource for producing more accurate model outputs such as prices, hedge ratios, volatilities, and graphs"-- | ||
| 500 | |a Includes bibliographical references and index | ||
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| 650 | 4 | |a Options (Finance) / Prices | |
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Datensatz im Suchindex
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| author | Rouah, Fabrice |
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| dewey-full | 332.64/5302855133 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5302855133 |
| dewey-search | 332.64/5302855133 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043397350 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:24:53Z |
| institution | BVB |
| isbn | 1119003318 1119003326 1119020522 9781119003311 9781119003328 9781119020523 |
| language | English |
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| publisher | Wiley |
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| spelling | Rouah, Fabrice Verfasser aut The Heston model and its extensions in VBA Fabrice Douglas Rouah Hoboken, New Jersey Wiley 2015 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Wiley finance and IJK Schemes Quadratic-Exponential Scheme Alfonsi Scheme for the Variance Moment Matching Scheme Conclusion Chapter 8: American Options Least-Squares Monte Carlo The Explicit Method Beliaeva-Nawalkha Bivariate Tree Medvedev-Scaillet Expansion Chiarella and Ziogas American Call Conclusion Chapter 9: Time-Dependent Heston Models Generalization of the Riccati Equation Bivariate Characteristic Function Linking the Bivariate CF and the General Riccati Equation Mikhailov and Nogel Model Elices Model Benhamou-Miri-Gobet Model Black-Scholes Derivatives Conclusion Chapter 10: Methods for Finite Differences The PDE in Terms of an Operator Building Grids Finite Difference Approximation of Derivatives Boundary Conditions for the PDE The Weighted Method Explicit Scheme ADI Schemes Conclusion Chapter 11: The Heston Greeks Analytic Expressions for European Greeks Finite Differences for the Greeks Numerical Implementation of the Greeks Greeks Under the Attari and Carr-Madan Formulations Greeks . - "Practical options pricing for better-informed investment decisions.The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools--the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently--and accurately--exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not only on the original Heston model, but also on the many enhancements and refinements that have been applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets.The Heston model is the derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete guidance toward the successful implementation of this valuable model using the industry's ubiquitous financial modeling software, giving users the understanding--and VBA code--they need to produce option prices that are more accurate, and volatility surfaces that more closely reflect market conditions.Derivatives pricing is often the hinge on which profit is made or lost in financial institutions, making accuracy of utmost importance. This book will help risk managers, traders, portfolio managers, quants, academics and other professionals better understand the Heston model and its extensions, in a writing style that is clear, concise, transparent and easy to understand. For better pricing accuracy, The Heston Model and Its Extensions in VBA is a crucial resource for producing more accurate model outputs such as prices, hedge ratios, volatilities, and graphs"-- Includes bibliographical references and index Visual Basic for Applications (Computer program language) BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Options (Finance) / Mathematical models Options (Finance) / Prices Finance / Mathematical models Electronic books Erscheint auch als Druckausgabe 978-1-119-00330-4 https://onlinelibrary.wiley.com/doi/book/10.1002/9781119020523 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Rouah, Fabrice The Heston model and its extensions in VBA Visual Basic for Applications (Computer program language) BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Options (Finance) / Mathematical models Options (Finance) / Prices Finance / Mathematical models |
| title | The Heston model and its extensions in VBA |
| title_auth | The Heston model and its extensions in VBA |
| title_exact_search | The Heston model and its extensions in VBA |
| title_full | The Heston model and its extensions in VBA Fabrice Douglas Rouah |
| title_fullStr | The Heston model and its extensions in VBA Fabrice Douglas Rouah |
| title_full_unstemmed | The Heston model and its extensions in VBA Fabrice Douglas Rouah |
| title_short | The Heston model and its extensions in VBA |
| title_sort | the heston model and its extensions in vba |
| topic | Visual Basic for Applications (Computer program language) BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Options (Finance) / Mathematical models Options (Finance) / Prices Finance / Mathematical models |
| topic_facet | Visual Basic for Applications (Computer program language) BUSINESS & ECONOMICS / Finance Mathematisches Modell Wirtschaft Options (Finance) / Mathematical models Options (Finance) / Prices Finance / Mathematical models |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781119020523 |
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