The Heston model and its extensions in Matlab and C#
Rouah, Fabrice, 1964-
The Heston model and its extensions in Matlab and C# [electronic resource] / Fabrice Douglas Rouah ; [foreword by Steven L. Heston]. - Hoboken, N.J. : John Wiley & Sons, Inc., 2013. - xiii, 411 p. : col. ill. - Wiley finance series .
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.
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2013.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
MATLAB.
Options (Finance)--Mathematical models.
Options (Finance)--Prices.
Finance--Mathematical models.
C# (Computer program language)
Electronic books.
HG6024.A3 / R6777 2013eb
332.64/53028553
The Heston model and its extensions in Matlab and C# [electronic resource] / Fabrice Douglas Rouah ; [foreword by Steven L. Heston]. - Hoboken, N.J. : John Wiley & Sons, Inc., 2013. - xiii, 411 p. : col. ill. - Wiley finance series .
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.
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2013.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
MATLAB.
Options (Finance)--Mathematical models.
Options (Finance)--Prices.
Finance--Mathematical models.
C# (Computer program language)
Electronic books.
HG6024.A3 / R6777 2013eb
332.64/53028553