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The Heston model and its extensions in Matlab and C# [electronic resource] / Fabrice Douglas Rouah ; [foreword by Steven L. Heston].

By:

Rouah, Fabrice, 1964-

Contributor(s):

ebrary, Inc

Material type: Book

BookSeries: Wiley finance seriesPublication details: Hoboken, N.J. : John Wiley & Sons, Inc., 2013.Description: xiii, 411 p. : col. illSubject(s):

Genre/Form:

Electronic books.

DDC classification:

332.64/53028553 23

LOC classification:

HG6024.A3 R6777 2013eb

Online resources:

An electronic book accessible through the World Wide Web; click to view

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.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode
E-Books	Main Library	332.64/53028553 (Browse shelf(Opens below))	Available		EB469

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Previous	332.6453 Trading weekly options :	332.64/53 Visual guide to options	332.64/53 Trading options Greeks	332.64/53028553 The Heston model and its extensions in Matlab and C#	332.64/57 Credit correlation	332.64/57 Modelling single-name and multi-name credit derivatives	332.64/57 Counterparty credit risk and credit value adjustment	Next

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.

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