The Heston Model and its Extensions in Matlab and C# / Wiley Finance Editions (PDF)

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.