The Heston Model And Its Extensions In Matlab And C
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The Heston Model And Its Extensions In Matlab And C
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Author : Fabrice D. Rouah
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-01
The Heston Model And Its Extensions In Matlab And C written by Fabrice D. Rouah and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-01 with Business & Economics categories.
Tap into the power of the most popular stochastic volatility model for pricing equity derivatives 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.
The Heston Model And Its Extensions In Matlab And C
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Author : Fabrice D. Rouah
language : en
Publisher: Wiley
Release Date : 2013-08-14
The Heston Model And Its Extensions In Matlab And C written by Fabrice D. Rouah and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-14 with Business & Economics categories.
Tap into the power of the most popular stochastic volatility model for pricing equity derivatives 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.
The Heston Model And Its Extensions In Vba
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Author : Fabrice D. Rouah
language : en
Publisher: John Wiley & Sons
Release Date : 2015-04-27
The Heston Model And Its Extensions In Vba written by Fabrice D. Rouah and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-27 with Business & Economics categories.
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.
Progress In Artificial Intelligence
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Author : Goreti Marreiros
language : en
Publisher: Springer Nature
Release Date : 2021-09-07
Progress In Artificial Intelligence written by Goreti Marreiros and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-07 with Computers categories.
This book constitutes the refereed proceedings of the 20th EPIA Conference on Artificial Intelligence, EPIA 2021, held virtually in September 2021. The 62 full papers and 6 short papers presented were carefully reviewed and selected from a total of 108 submissions. The papers are organized in the following topical sections: artificial intelligence and IoT in agriculture; artificial intelligence and law; artificial intelligence in medicine; artificial intelligence in power and energy systems; artificial intelligence in transportation systems; artificial life and evolutionary algorithms; ambient intelligence and affective environments; general AI; intelligent robotics; knowledge discovery and business intelligence; multi-agent systems: theory and applications; and text mining and applications.
Mathematical And Computational Approaches In Advancing Modern Science And Engineering
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Author : Jacques Bélair
language : en
Publisher: Springer
Release Date : 2016-08-10
Mathematical And Computational Approaches In Advancing Modern Science And Engineering written by Jacques Bélair and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-08-10 with Computers categories.
Focusing on five main groups of interdisciplinary problems, this book covers a wide range of topics in mathematical modeling, computational science and applied mathematics. It presents a wealth of new results in the development of modeling theories and methods, advancing diverse areas of applications and promoting interdisciplinary interactions between mathematicians, scientists, engineers and representatives from other disciplines. The book offers a valuable source of methods, ideas, and tools developed for a variety of disciplines, including the natural and social sciences, medicine, engineering, and technology. Original results are presented on both the fundamental and applied level, accompanied by an ample number of real-world problems and examples emphasizing the interdisciplinary nature and universality of mathematical modeling, and providing an excellent outline of today’s challenges. Mathematical modeling, with applied and computational methods and tools, plays a fundamental role in modern science and engineering. It provides a primary and ubiquitous tool in the context making new discoveries, as well as in the development of new theories and techniques for solving key problems arising in scientific and engineering applications. The contributions, which are the product of two highly successful meetings held jointly in Waterloo, Ontario, Canada on the main campus of Wilfrid Laurier University in June 2015, i.e. the International Conference on Applied Mathematics, Modeling and Computational Science, and the Annual Meeting of the Canadian Applied and Industrial Mathematics (CAIMS), make the book a valuable resource for any reader interested in a broader overview of the methods, ideas and tools involved in mathematical and computational approaches developed for other disciplines, including the natural and social sciences, engineering and technology.
Financial Modelling
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Author : Joerg Kienitz
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-10
Financial Modelling written by Joerg Kienitz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-10 with Business & Economics categories.
Financial modelling Theory, Implementation and Practice with MATLAB Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.
Advances In Longitudinal Data Methods In Applied Economic Research
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Author : Nicholas Tsounis
language : en
Publisher: Springer Nature
Release Date : 2021-03-31
Advances In Longitudinal Data Methods In Applied Economic Research written by Nicholas Tsounis and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-31 with Business & Economics categories.
This volume presents new methods and applications in longitudinal data estimation methodology in applied economic. Featuring selected papers from the 2020 the International Conference on Applied Economics (ICOAE 2020) held virtually due to the corona virus pandemic, this book examines interdisciplinary topics such as financial economics, international economics, agricultural economics, marketing and management. Country specific case studies are also featured.
Introduction To Stochastic Finance With Market Examples
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Author : Nicolas Privault
language : en
Publisher: CRC Press
Release Date : 2022-12-13
Introduction To Stochastic Finance With Market Examples written by Nicolas Privault and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-13 with Business & Economics categories.
Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, American options, derivatives, term structure modeling, and change of numéraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes. New to this Edition New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility Contains over 235 exercises and 16 problems with complete solutions available online from the instructor resources Added over 150 graphs and figures, for more than 250 in total, to optimize presentation 57 R coding examples now integrated into the book for implementation of the methods Substantially class-tested, so ideal for course use or self-study With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.
Financial Risk Forecasting
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Author : Jon Danielsson
language : en
Publisher: John Wiley & Sons
Release Date : 2011-04-20
Financial Risk Forecasting written by Jon Danielsson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-20 with Business & Economics categories.
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Mathematical Modeling And Methods Of Option Pricing
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Author : Lishang Jiang
language : en
Publisher: World Scientific Publishing Company
Release Date : 2005-07-18
Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-18 with Business & Economics categories.
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.