The Heston Model and its Extensions in Matlab and C# (Wiley Finance) - Tapa blanda

Acerca del autor

FABRICE DOUGLAS ROUAH is a quantitative analyst who specializes 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 PhD in finance and an MSc in statistics from McGill University, and a BSc in applied mathematics from Concordia University.

De la contraportada

Praise for The Heston Model and Its Extensions in Matlab and C#

"In his excellent new book, Fabrice Rouah provides a careful presentation of all aspects of the Heston model, with a strong emphasis on getting the model up and running in practice. This highly practical and useful book is recommended for anyone working with stochastic volatility models."
?Leif B. G. Andersen, Bank of America Merrill Lynch

"Without a doubt, Fabrice provides a very valuable contribution to quantitative analysts interested in pricing options with state-of-the art techniques."
?Marco Avellaneda, New York University

"The Heston model is one of the great success stories of academic finance. Rouah's impressive book provides users with all the tools required to implement the Heston model, and wonderfully bridges the gap between academia and practice."
?Peter Christoffersen, University of Toronto

"In this encyclopedic work, the author takes delight in exploring every aspect of the Heston model. Together with its included Matlab and C# code, this book will prove invaluable to anyone interested in option pricing. I highly recommend it."
?Jim Gatheral, Baruch College author of The Volatility Surface: A Practitioner's Guide

"This is the most extensive work on the Heston model I have seen: derivations, implementations, and discussions. For anyone interested in the Heston model and its variations, this is an important book to have!"
?Espen Gaarder Haug, Norwegian University of Life Sciences author of Derivatives Models on Models

"Rouah offers a unique and much needed synthesis of the literature regarding Heston's model of stochastic volatility. The author has accomplished the formidable task of presenting a large body of published academic and industrial research in a coherent, thorough, and very reader-friendly manner."
?Andrew Lesniewski, DTCC

"Beyond Black-Scholes, the Heston model is arguably the most important model in quantitative finance and certainly deserves its own book. Rouah provides here a comprehensive treatment?clearly discussing all the major issues, later extensions, and subtle traps."
?Alan L. Lewis, PhD, author of Option Valuation Under Stochastic Volatility: With Mathematica Code

De la solapa interior

Praise for The Heston Model and Its Extensions in Matlab and C#

In his excellent new book, Fabrice Rouah provides a careful presentation of all aspects of the Heston model, with a strong emphasis on getting the model up and running in practice. This highly practical and useful book is recommended for anyone working with stochastic volatility models.
--Leif B. G. Andersen, Bank of America Merrill Lynch

Without a doubt, Fabrice provides a very valuable contribution to quantitative analysts interested in pricing options with state-of-the art techniques.
--Marco Avellaneda, New York University

The Heston model is one of the great success stories of academic finance. Rouah's impressive book provides users with all the tools required to implement the Heston model, and wonderfully bridges the gap between academia and practice.
--Peter Christoffersen, University of Toronto

In this encyclopedic work, the author takes delight in exploring every aspect of the Heston model. Together with its included Matlab and C# code, this book will prove invaluable to anyone interested in option pricing. I highly recommend it.
--Jim Gatheral, Baruch College author of The Volatility Surface: A Practitioner's Guide

This is the most extensive work on the Heston model I have seen: derivations, implementations, and discussions. For anyone interested in the Heston model and its variations, this is an important book to have!
--Espen Gaarder Haug, Norwegian University of Life Sciences author of Derivatives Models on Models

Rouah offers a unique and much needed synthesis of the literature regarding Heston's model of stochastic volatility. The author has accomplished the formidable task of presenting a large body of published academic and industrial research in a coherent, thorough, and very reader-friendly manner.
--Andrew Lesniewski, DTCC

Beyond Black-Scholes, the Heston model is arguably the most important model in quantitative finance and certainly deserves its own book. Rouah provides here a comprehensive treatment--clearly discussing all the major issues, later extensions, and subtle traps.
--Alan L. Lewis, PhD, author of Option Valuation Under Stochastic Volatility: With Mathematica Code