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The Heston model and its extensions in Matlab and C# / / Fabrice Douglas Rouah ; [foreword by Steven L. Heston]
| The Heston model and its extensions in Matlab and C# / / Fabrice Douglas Rouah ; [foreword by Steven L. Heston] |
| Autore | Rouah Fabrice <1964-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (434 p.) |
| Disciplina | 332.64/53028553 |
| Collana | Wiley finance series |
| Soggetto topico |
Options (Finance) - Mathematical models
Options (Finance) - Prices Finance - Mathematical models C# (Computer program language) |
| ISBN |
9781118695173
1118695178 9781118656471 1118656474 9781118695180 1118695186 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The Heston model for European options -- Integration issues, parameter effects, and variance modeling -- Derivations using the Fourier transform -- The fundamental approach to pricing options. |
| Record Nr. | UNINA-9910139005703321 |
Rouah Fabrice <1964->
|
||
| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Heston model and its extensions in VBA + website / / Fabrice D. Rouah
| The Heston model and its extensions in VBA + website / / Fabrice D. Rouah |
| Autore | Rouah Fabrice <1964-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (0 pages) : illustrations |
| Disciplina | 332.64/5302855133 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Options (Finance) - Prices Finance - Mathematical models |
| ISBN |
1-119-00330-X
1-119-00331-8 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword Preface Acknowledgments About This Book VBA Library for Complex Numbers Chapter 1: The Heston Model for European Options Model Dynamics The Heston European Call Price Dividend Yield and the Put Price Consolidating the Integrals Black-Scholes as a Special Case Conclusion Chapter 2: Integration Issues, Parameter Effects, and Variance Modeling Remarks on the Characteristic Functions Problems With the Integrand The Little Heston Trap Effect of the Heston Parameters Variance Modeling in the Heston Model Moment Explosions Bounds on Implied Volatility Slope Conclusion Chapter 3: Derivations Using the Fourier Transform Derivation of Gatheral (2006) Attari (2004) Representation Carr and Madan (1999) Representation Conclusion Chapter 4: The Fundamental Transform for Pricing Options The Payoff Transform Option Prices Using Parseval's Identity Volatility of Volatility Series Expansion Conclusion Chapter 5: Numerical Integration Schemes The Integrand in Numerical Integration Newton-Cotes Formulas Gaussian Quadrature Integration Limits, Multi-Domain Integration, and Kahl and Jackel Transformation Illustration of Numerical Integration Fast Fourier Transform Fractional Fast Fourier Transform Conclusion Chapter 6: Parameter Estimation Estimation Using Loss Functions Speeding up the Estimation Differential Evolution Maximum Likelihood Estimation Risk-Neutral Density and Arbitrage-Free Volatility Surface Conclusion Chapter 7: Simulation in the Heston Model General Setup Euler Scheme Milstein Scheme Implicit Milstein Scheme Transformed Volatility Scheme Balanced, Pathwise, 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 Under the Lewis Formulations Greeks Using the FFT and FRFT American Greeks Using Simulation American Greeks Using the Explicit Method American Greeks from Medvedev and Scaillet Conclusion Chapter 12: The Double Heston Model Multi-Dimensional Feynman-Kac Theorem Double Heston Call Price Double Heston Greeks Parameter Estimation Simulation in the Double Heston Model American Options in the Double Heston Model Conclusion Bibliography About the Website Index. |
| Record Nr. | UNINA-9910208954803321 |
|
Rouah Fabrice <1964->
|
||
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Heston model and its extensions in VBA + website / / Fabrice D. Rouah
| The Heston model and its extensions in VBA + website / / Fabrice D. Rouah |
| Autore | Rouah Fabrice <1964-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (0 pages) : illustrations |
| Disciplina | 332.64/5302855133 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Options (Finance) - Prices Finance - Mathematical models |
| ISBN |
1-119-00330-X
1-119-00331-8 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Foreword Preface Acknowledgments About This Book VBA Library for Complex Numbers Chapter 1: The Heston Model for European Options Model Dynamics The Heston European Call Price Dividend Yield and the Put Price Consolidating the Integrals Black-Scholes as a Special Case Conclusion Chapter 2: Integration Issues, Parameter Effects, and Variance Modeling Remarks on the Characteristic Functions Problems With the Integrand The Little Heston Trap Effect of the Heston Parameters Variance Modeling in the Heston Model Moment Explosions Bounds on Implied Volatility Slope Conclusion Chapter 3: Derivations Using the Fourier Transform Derivation of Gatheral (2006) Attari (2004) Representation Carr and Madan (1999) Representation Conclusion Chapter 4: The Fundamental Transform for Pricing Options The Payoff Transform Option Prices Using Parseval's Identity Volatility of Volatility Series Expansion Conclusion Chapter 5: Numerical Integration Schemes The Integrand in Numerical Integration Newton-Cotes Formulas Gaussian Quadrature Integration Limits, Multi-Domain Integration, and Kahl and Jackel Transformation Illustration of Numerical Integration Fast Fourier Transform Fractional Fast Fourier Transform Conclusion Chapter 6: Parameter Estimation Estimation Using Loss Functions Speeding up the Estimation Differential Evolution Maximum Likelihood Estimation Risk-Neutral Density and Arbitrage-Free Volatility Surface Conclusion Chapter 7: Simulation in the Heston Model General Setup Euler Scheme Milstein Scheme Implicit Milstein Scheme Transformed Volatility Scheme Balanced, Pathwise, 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 Under the Lewis Formulations Greeks Using the FFT and FRFT American Greeks Using Simulation American Greeks Using the Explicit Method American Greeks from Medvedev and Scaillet Conclusion Chapter 12: The Double Heston Model Multi-Dimensional Feynman-Kac Theorem Double Heston Call Price Double Heston Greeks Parameter Estimation Simulation in the Double Heston Model American Options in the Double Heston Model Conclusion Bibliography About the Website Index. |
| Record Nr. | UNINA-9910819466503321 |
|
Rouah Fabrice <1964->
|
||
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option pricing models and volatility using Excel-VBA [[electronic resource] /] / Fabrice Douglas Rouah, Gregory Vainberg
| Option pricing models and volatility using Excel-VBA [[electronic resource] /] / Fabrice Douglas Rouah, Gregory Vainberg |
| Autore | Rouah Fabrice <1964-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (457 p.) |
| Disciplina | 332.6453 |
| Altri autori (Persone) | VainbergGregory <1978-> |
| Collana | Wiley finance |
| Soggetto topico |
Options (Finance) - Prices
Capital investments - Evaluation - Mathematical models Options (Finance) - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-42920-6
1-119-20209-4 1-280-82713-0 9786610827138 0-470-12575-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns. |
| Record Nr. | UNINA-9910143429003321 |
|
Rouah Fabrice <1964->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option pricing models and volatility using Excel-VBA / / Fabrice Douglas Rouah, Gregory Vainberg
| Option pricing models and volatility using Excel-VBA / / Fabrice Douglas Rouah, Gregory Vainberg |
| Autore | Rouah Fabrice <1964-> |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (457 p.) |
| Disciplina | 332.6453 |
| Altri autori (Persone) | VainbergGregory <1978-> |
| Collana | Wiley finance |
| Soggetto topico |
Options (Finance) - Prices
Capital investments - Evaluation - Mathematical models Options (Finance) - Mathematical models |
| ISBN |
1-118-42920-6
1-119-20209-4 1-280-82713-0 9786610827138 0-470-12575-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns. |
| Record Nr. | UNINA-9910676502903321 |
|
Rouah Fabrice <1964->
|
||
| Hoboken, N.J., : John Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||