The Heston model and its extensions in Matlab and C# [electronic resource] / Fabrice Douglas Rouah ; [foreword by Steven L. Heston].
By: Rouah, Fabrice.
Contributor(s): ebrary, Inc.
Material type:
BookSeries: Wiley finance series. Publisher: Hoboken, N.J. : John Wiley & Sons, Inc., 2013Description: xiii, 411 p. : col. ill.Subject(s): MATLAB | Options (Finance) -- Mathematical models | Options (Finance) -- Prices | Finance -- Mathematical models | C# (Computer program language)Genre/Form: Electronic books.DDC classification: 332.64/53028553 Online resources: An electronic book accessible through the World Wide Web; click to view | Item type | Current location | Collection | Call number | URL | Copy number | Status | Date due | Item holds |
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E-book
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IUKL Library | Subscripti | http://site.ebrary.com/lib/kliuc/Doc?id=10748713 | 1 | Available |
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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