The Heston Model and Its Extensions in MATLAB and C#, + Website - (Wiley Finance) by Fabrice D Rouah (Paperback)

Book Synopsis

Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources.

The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations, and shows how to implement implied and local volatility, Fourier methods applied to the model, numerical integration schemes, parameter estimation, simulation schemes, American options, the Heston model with time-dependent parameters, finite difference methods for the Heston PDE, the Greeks, and the double Heston model.

• A groundbreaking book dedicated to the exploration of the Heston model--a popular model for pricing equity derivatives
• Includes a companion website, which explores the Heston model and its extensions all coded in Matlab and C#
• Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management

Engaging and informative, this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model, as well as code for parameter estimation, simulation, finite difference methods, American options, and more.

From the Back Cover

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

About the Author

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.