rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    non sort: The
    title: Heston model and its extensions in VBA
  name:
    name part: Rouah, Fabrice
    name part: 1964-
    role:
      role term: creator
  type of resource: text
  genre: bibliography
  origin info:
    place:
      place term: nju
    date issued: 2015
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource
  abstract: "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"--
  table of contents: Front Matter -- The Heston Model for European Options -- Integration Issues, Parameter Effects, and Variance Modeling -- Derivations Using the Fourier Transform -- The Fundamental Transform for Pricing Options -- Numerical Integration Schemes -- Parameter Estimation -- Simulation in the Heston Model -- American Options -- Time-Dependent Heston Models -- Methods for Finite Differences -- The Heston Greeks -- The Double Heston Model.
  note: Fabrice Douglas Rouah.
  note: Machine generated contents note: Foreword Preface Acknowledgments About This Book VBA Library for Complex Numbers Chapter 1: The Heston Model for European Options Model Dynamics The Heston European Call Price Dividend Yield and the Put Price Consolidating the Integrals Black-Scholes as a Special Case Conclusion Chapter 2: Integration Issues, Parameter Effects, and Variance Modeling Remarks on the Characteristic Functions Problems With the Integrand The Little Heston Trap Effect of the Heston Parameters Variance Modeling in the Heston Model Moment Explosions Bounds on Implied Volatility Slope Conclusion Chapter 3: Derivations Using the Fourier Transform Derivation of Gatheral (2006) Attari (2004) Representation Carr and Madan (1999) Representation Conclusion Chapter 4: The Fundamental Transform for Pricing Options The Payoff Transform Option Prices Using Parseval's Identity Volatility of Volatility Series Expansion Conclusion Chapter 5: Numerical Integration Schemes The Integrand in Numerical Integration Newton-Cotes Formulas Gaussian Quadrature Integration Limits, Multi-Domain Integration, and Kahl and Jackel Transformation Illustration of Numerical Integration Fast Fourier Transform Fractional Fast Fourier Transform Conclusion Chapter 6: Parameter Estimation Estimation Using Loss Functions Speeding up the Estimation Differential Evolution Maximum Likelihood Estimation Risk-Neutral Density and Arbitrage-Free Volatility Surface Conclusion Chapter 7: Simulation in the Heston Model General Setup Euler Scheme Milstein Scheme Implicit Milstein Scheme Transformed Volatility Scheme Balanced, Pathwise, and IJK Schemes Quadratic-Exponential Scheme Alfonsi Scheme for the Variance Moment Matching Scheme Conclusion Chapter 8: American Options Least-Squares Monte Carlo The Explicit Method Beliaeva-Nawalkha Bivariate Tree Medvedev-Scaillet Expansion Chiarella and Ziogas American Call Conclusion Chapter 9: Time-Dependent Heston Models Generalization of the Riccati Equation Bivaria…
  note: Includes bibliographical references and index.
  subject:
    title info:
      title: Visual Basic for Applications (Computer program language)
  subject:
    topic: Options (Finance)
    topic: Mathematical models
  subject:
    topic: Options (Finance)
    topic: Prices
  subject:
    topic: Finance
    topic: Mathematical models
  classification: HG6024.A3 R68 2015
  classification: 332.64/5302855133
  classification: BUS027000
  related item:
    title info:
      title: Heston model and its extensions in VBA + website
    name:
      name part: Rouah, Fabrice, 1964-
    origin info:
      publisher: Hoboken, New Jersey : Wiley, 2015
    identifier: (DLC) 2014043249
  identifier: 9781119003328
  identifier: 1119003326
  identifier: 111900330X
  identifier: 9781119003304
  identifier: 9781119003311
  identifier: 1119003318
  identifier: 9781119020523
  identifier: 1119020522
  identifier: 2014046952
  identifier: 785554 MIL
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: DLC
    record creation date: 141202
    record change date: 20260214205357.1
    record identifier: in00004683197
    language of cataloging:
      language term: eng