The Heston Model and Its Extensions in VBA (Wiley Finance)

0 avg rating
( 0 ratings by Goodreads )
 
9781119003304: The Heston Model and Its Extensions in VBA (Wiley Finance)
View all copies of this ISBN edition:
 
 

Practical options pricing for better-informed investmentdecisions.

The Heston Model and Its Extensions in VBA is thedefinitive guide to options pricing using two of the derivativesindustry's most powerful modeling tools—the Heston model, andVBA. Light on theory, this extremely useful reference focuses onimplementation, and can help investors more efficiently—andaccurately—exploit market information to better informinvestment decisions. Coverage includes a description of the Hestonmodel, with specific emphasis on equity options pricing andvariance modeling, The book focuses not only on the original Hestonmodel, but also on the many enhancements and refinements that havebeen applied to the model, including methods that use the Fouriertransform, numerical integration schemes, simulation, methods forpricing American options, and much more. The companion websiteoffers pricing code in VBA that resides in an extensive set ofExcel spreadsheets.

The Heston model is the derivatives industry's most popularstochastic volatility model for pricing equity derivatives. Thisbook provides complete guidance toward the successfulimplementation of this valuable model using the industry'subiquitous financial modeling software, giving users theunderstanding—and VBA code—they need to produce optionprices that are more accurate, and volatility surfaces that moreclosely reflect market conditions.

Derivatives pricing is often the hinge on which profit is madeor lost in financial institutions, making accuracy of utmostimportance. This book will help risk managers, traders, portfoliomanagers, quants, academics and other professionals betterunderstand the Heston model and its extensions, in a writing stylethat is clear, concise, transparent and easy to understand. Forbetter pricing accuracy, The Heston Model and Its Extensions inVBA is a crucial resource for producing more accurate modeloutputs such as prices, hedge ratios, volatilities, and graphs.

"synopsis" may belong to another edition of this title.

From the Back Cover:

Praise for The Heston Model and Its Extensions in VBA

"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 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 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 PhD in finance and an MSc in statistics from McGill University, and a BSc in applied mathematics from Concordia University.

"About this title" may belong to another edition of this title.

Buy New View Book
List Price: US$ 150.00
US$ 103.55

Convert currency

Shipping: US$ 3.60
Within U.S.A.

Destination, rates & speeds

Add to Basket

Top Search Results from the AbeBooks Marketplace

1.

Fabrice D. Rouah
Published by John Wiley and Sons
ISBN 10: 111900330X ISBN 13: 9781119003304
New Quantity Available: > 20
Seller:
INDOO
(Avenel, NJ, U.S.A.)
Rating
[?]

Book Description John Wiley and Sons. Condition: New. Brand New. Seller Inventory # 111900330X

More information about this seller | Contact this seller

Buy New
US$ 103.55
Convert currency

Add to Basket

Shipping: US$ 3.60
Within U.S.A.
Destination, rates & speeds

2.

Fabrice Douglas Rouah
Published by John Wiley & Sons Inc, United States (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New Paperback First Edition Quantity Available: 10
Seller:
Book Depository International
(London, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons Inc, United States, 2015. Paperback. Condition: New. 1. Auflage. Language: English. Brand new Book. 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 applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets. 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. Seller Inventory # AAH9781119003304

More information about this seller | Contact this seller

Buy New
US$ 123.49
Convert currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, rates & speeds

3.

Fabrice Douglas Rouah
Published by John Wiley & Sons Inc, United States (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New Paperback First Edition Quantity Available: 10
Seller:
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons Inc, United States, 2015. Paperback. Condition: New. 1. Auflage. Language: English. Brand new Book. 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 applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets. 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. Seller Inventory # AAH9781119003304

More information about this seller | Contact this seller

Buy New
US$ 127.19
Convert currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, rates & speeds

4.

Rouah, Fabrice D.
Published by John Wiley and#38; Sons (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New Quantity Available: 19
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description John Wiley and#38; Sons, 2015. PAP. Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Seller Inventory # FW-9781119003304

More information about this seller | Contact this seller

Buy New
US$ 117.60
Convert currency

Add to Basket

Shipping: US$ 11.76
From United Kingdom to U.S.A.
Destination, rates & speeds

5.

Rouah, Fabrice D.
Published by Wiley (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New Paperback Quantity Available: 2
Seller:
Murray Media
(NORTH MIAMI BEACH, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2015. Paperback. Condition: New. Never used!. Seller Inventory # P11111900330X

More information about this seller | Contact this seller

Buy New
US$ 130.12
Convert currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, rates & speeds

6.

Fabrice D. Rouah, Steven L. Heston (foreword)
Published by Wiley 2015-05-29, Hoboken, New Jersey (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New paperback Quantity Available: 5
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Wiley 2015-05-29, Hoboken, New Jersey, 2015. paperback. Condition: New. Seller Inventory # 9781119003304

More information about this seller | Contact this seller

Buy New
US$ 128.61
Convert currency

Add to Basket

Shipping: US$ 9.80
From United Kingdom to U.S.A.
Destination, rates & speeds

7.

Fabrice Douglas Rouah
Published by John Wiley & Sons Inc
ISBN 10: 111900330X ISBN 13: 9781119003304
New Paperback Quantity Available: 19
Seller:
THE SAINT BOOKSTORE
(Southport, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons Inc. Paperback. Condition: New. New copy - Usually dispatched within 2 working days. Seller Inventory # B9781119003304

More information about this seller | Contact this seller

Buy New
US$ 132.61
Convert currency

Add to Basket

Shipping: US$ 9.07
From United Kingdom to U.S.A.
Destination, rates & speeds

8.

Fabrice Douglas Rouah
Published by John Wiley & Sons Inc, United States (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New Paperback First Edition Quantity Available: 10
Seller:
Book Depository hard to find
(London, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons Inc, United States, 2015. Paperback. Condition: New. 1. Auflage. Language: English. Brand new Book. 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 applied to the model, including methods that use the Fourier transform, numerical integration schemes, simulation, methods for pricing American options, and much more. The companion website offers pricing code in VBA that resides in an extensive set of Excel spreadsheets. 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. Seller Inventory # BZV9781119003304

More information about this seller | Contact this seller

Buy New
US$ 148.14
Convert currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, rates & speeds

9.

Fabrice D. Rouah
Published by Wiley (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New Softcover Quantity Available: 1
Seller:
Irish Booksellers
(Portland, ME, U.S.A.)
Rating
[?]

Book Description Wiley, 2015. Condition: New. book. Seller Inventory # M111900330X

More information about this seller | Contact this seller

Buy New
US$ 194.34
Convert currency

Add to Basket

Shipping: US$ 3.27
Within U.S.A.
Destination, rates & speeds

10.

Fabrice D. Rouah, Steven L. Heston
Published by John Wiley & Sons 2015-05-29 (2015)
ISBN 10: 111900330X ISBN 13: 9781119003304
New Quantity Available: 5
Seller:
Chiron Media
(Wallingford, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons 2015-05-29, 2015. Condition: New. Brand new book, sourced directly from publisher. Dispatch time is 3-4 working days from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Seller Inventory # NU-WLY-00027700

More information about this seller | Contact this seller

Buy New
US$ 162.08
Convert currency

Add to Basket

Shipping: US$ 39.19
From United Kingdom to U.S.A.
Destination, rates & speeds

There are more copies of this book

View all search results for this book