The Heston model and its extensions in Matlab and C#/ Fabrice Douglas Rouah ; [foreword by Steven L. Heston].
2013
HG6024.A3 R6777 2013
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Title
The Heston model and its extensions in Matlab and C#/ Fabrice Douglas Rouah ; [foreword by Steven L. Heston].
Author
Rouah, Fabrice, 1964-
ISBN
9781118548257 (pbk.)
9781118695180 (electronic bk.)
9781118695180 (electronic bk.)
Publication Details
Hoboken, N.J. : John Wiley & Sons, Inc., 2013.
Language
English
Description
xiii, 411 p. : col. ill.
Call Number
HG6024.A3 R6777 2013
Dewey Decimal Classification
332.64/53028553
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Series
Wiley finance series
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Table of Contents
The Heston model for European options
Integration issues, parameter effects, and variance modeling
Derivations using the Fourier transform
The fundamental approach to pricing options.
Integration issues, parameter effects, and variance modeling
Derivations using the Fourier transform
The fundamental approach to pricing options.