The Heston Model and Its Extensions in MATLAB and C#, + Website

by Fabrice Douglas Rouah

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...

• Format: Paperback
• Language: English
• ISBN: 1118548256
• ISBN13: 9781118548257
• Release Date: September 2013
• Publisher: Wiley
• Length: 432 Pages
• Weight: 1.65 lbs.
• Dimensions: 0.9" x 6.9" x 9.8"