Kindle Price: £64.59

Save £45.41 (41%)

includes VAT*
* Unlike print books, digital books are subject to VAT.

These promotions will be applied to this item:

Some promotions may be combined; others are not eligible to be combined with other offers. For details, please see the Terms & Conditions associated with these promotions.

Deliver to your Kindle or other device

Deliver to your Kindle or other device

Kindle App Ad
The Heston Model and its Extensions in Matlab and C# (Wiley Finance) by [Rouah, Fabrice D.]

The Heston Model and its Extensions in Matlab and C# (Wiley Finance) 1st Edition, Kindle Edition

5.0 out of 5 stars 1 customer review

See all 5 formats and editions Hide other formats and editions
Amazon Price
New from Used from
Kindle Edition

Kindle Monthly Deal
Browse a new selection of discounted Kindle Books each month. Shop now

Product description

From the Back Cover

Praise for The Heston Model and Its Extensions in Matlab and C#

"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 included Matlab and C# 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 is a quantitative analyst who specializes 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.

Product details

  • Format: Kindle Edition
  • File Size: 29451 KB
  • Print Length: 432 pages
  • Publisher: Wiley; 1 edition (1 Aug. 2013)
  • Sold by: Amazon Media EU S.à r.l.
  • Language: English
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Not Enabled
  • Enhanced Typesetting: Enabled
  • Average Customer Review: 5.0 out of 5 stars 1 customer review
  • Amazon Bestsellers Rank: #1,580,979 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
  • Would you like to tell us about a lower price?

Customer reviews

Share your thoughts with other customers
See all 1 customer reviews

Top customer reviews

23 May 2014
Format: Paperback
One person found this helpful
|Comment|Report abuse

Most helpful customer reviews on 5.0 out of 5 stars 5 reviews
Joe Armstrong
5.0 out of 5 starsVery helpful, extremely well written
7 April 2015 - Published on
Verified Purchase
2 people found this helpful.
5.0 out of 5 starsexcellent book
13 February 2014 - Published on
Format: Paperback|Verified Purchase
2 people found this helpful.
Gorka K.G.S.
5.0 out of 5 starsIncredibly well written, very practical and useful. A must have.
20 March 2014 - Published on
Format: Paperback
3 people found this helpful.
5.0 out of 5 starsExcellent reference
15 January 2016 - Published on
Format: Paperback
Chakradhar Deo Singh
5.0 out of 5 starsAwesome
22 January 2015 - Published on
Format: Paperback
click to open popover

Where's My Stuff?

Delivery and Returns

Need Help?