{"product_id":"the-heston-model-and-its-extensions-in-matlab-and-c-website-wiley-finance","title":"The Heston Model and its Extensions in Matlab and C#   Website (Wiley Finance)","description":"\u003cp\u003eTap 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 books material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources. The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations  and shows how to implement implied and local volatility  Fourier methods applied to the model  numerical integration schemes  parameter estimation  simulation schemes  American options  the Heston model with time-dependent parameters  finite difference methods for the Heston PDE  the Greeks  and the double Heston model. A groundbreaking book dedicated to the exploration of the Heston modela popular model for pricing equity derivatives Includes a companion website  which explores the Heston model and its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management Engaging and informative  this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model  as well as code for parameter estimation  simulation  finite difference methods  American options  and more.\u003c\/p\u003e","brand":"My Store","offers":[{"title":"Default Title","offer_id":44985801441333,"sku":"ByrdShop_1118548256","price":87.98,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0627\/8139\/0901\/files\/9781118548257.jpg?v=1770871889","url":"https:\/\/atxbooks.com\/products\/the-heston-model-and-its-extensions-in-matlab-and-c-website-wiley-finance","provider":"ATX Books","version":"1.0","type":"link"}