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Fabrice D. Rouah - The Heston Model and Its Extensions in VBA - 9781119003304 - V9781119003304
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The Heston Model and Its Extensions in VBA

€ 155.07
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Description for The Heston Model and Its Extensions in VBA Paperback. 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. Series: Wiley Finance. Num Pages: 352 pages, illustrations. BIC Classification: KF. Category: (P) Professional & Vocational. Dimension: 180 x 254 x 22. Weight in Grams: 594.
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 ... Read more

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.

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Product Details

Format
Paperback
Publication date
2015
Publisher
John Wiley & Sons Inc
Condition
New
Series
Wiley Finance
Number of Pages
352
Place of Publication
New York, United States
ISBN
9781119003304
SKU
V9781119003304
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-1

About Fabrice D. Rouah
FABRICE DOUGLAS ROUAH was a quantitative analyst who specialized in financial modeling of derivatives for pricing and risk management at Sapient Global Markets, a global consultancy. Prior to joining Sapient, Rouah worked at State Street Corporation and McGill University. He is the coauthor and/or coeditor of five books on hedge funds, commodity trading advisors, and option pricing. Rouah holds a ... Read more

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