Login

Heston, Steven L.

The Heston Model and Its Extensions in VBA

Heston, Steven L. - The Heston Model and Its Extensions in VBA, ebook

148,80€

Ebook, ePUB with Adobe DRM
ISBN: 9781119003311
DRM Restrictions

Printing106 pages with an additional page accrued every 7 hours, capped at 106 pages
Copy to clipboard5 excerpts

Practical options pricing for better-informed investment decisions.

The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools—the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently—and accurately—exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not only on the original Heston model, but also on the many enhancements and refinements that have been applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets.

The Heston model is the derivatives industry's most popular stochastic volatility model for pricing equity derivatives. This book provides complete guidance toward the successful implementation of this valuable model using the industry's ubiquitous financial modeling software, giving users the understanding—and VBA code—they need to produce option prices that are more accurate, and volatility surfaces that more closely reflect market conditions.

Derivatives pricing is often the hinge on which profit is made or lost in financial institutions, making accuracy of utmost importance. This book will help risk managers, traders, portfolio managers, quants, academics and other professionals better understand the Heston model and its extensions, in a writing style that is clear, concise, transparent and easy to understand. For better pricing accuracy, The Heston Model and Its Extensions in VBA is a crucial resource for producing more accurate model outputs such as prices, hedge ratios, volatilities, and graphs.

Keywords: The Heston Model and Its Extensions in VBA + Website, Fabrice Rouah, derivatives pricing, Heston Model in C++, MATLAB Heston Model, Heston Model VBA, Heston Model code, Heston Model pricing, Heston Model extensions, using the Heston Model, practical Heston Model, Heston Model application, Heston Model help, Heston Model tutorial, VBA derivatives pricing, MATLAB finance, options code, financial modeling, The Heston Model and Its Extensions in VBA + Website, Fabrice Rouah, derivatives pricing, Heston Model in C++, MATLAB Heston Model, Heston Model VBA, Heston Model code, Heston Model pricing, Heston Model extensions, using the Heston Model, practical Heston Model, Heston Model application, Heston Model help, Heston Model tutorial, VBA derivatives pricing, MATLAB finance, options code, financial modeling, Finance & Investments Special Topics

Author(s)
 
Publisher
John Wiley and Sons, Inc.
Publication year
2015
Language
en
Edition
1
Series
Wiley Finance
Page amount
352 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781119003311
Printed ISBN
9781119020523

Similar titles