03105nam 2200769 a 450 991013900570332120200520144314.0978111869517311186951789781118656471111865647497811186951801118695186(CKB)2550000001111871(EBL)1363662(SSID)ssj0000981865(PQKBManifestationID)11532544(PQKBTitleCode)TC0000981865(PQKBWorkID)10991710(PQKB)11608784(DLC) 2013021020(Au-PeEL)EBL1363662(CaPaEBR)ebr10748713(OCoLC)844775004(CaSebORM)9781118548257(MiAaPQ)EBC1363662(OCoLC)879332944(OCoLC)ocn879332944(EXLCZ)99255000000111187120130517d2013 uy 0engur|n|---|||||txtccrThe Heston model and its extensions in Matlab and C# /Fabrice Douglas Rouah ; [foreword by Steven L. Heston]1st editionHoboken, N.J. John Wiley & Sons, Inc.20131 online resource (434 p.)Wiley finance seriesWiley finance seriesDescription based upon print version of record.9781118548257 1118548256 9781299805125 1299805124 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.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 accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from reseWiley FinanceOptions (Finance)Mathematical modelsOptions (Finance)PricesFinanceMathematical modelsC# (Computer program language)Options (Finance)Mathematical models.Options (Finance)Prices.FinanceMathematical models.C# (Computer program language)332.64/53028553Rouah Fabrice1964-889236MiAaPQMiAaPQMiAaPQBOOK9910139005703321The Heston model and its extensions in Matlab and C2256562UNINA