The Heston Model and Its Extensions in VBA

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 o

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Year of publication:	2015
Authors:	Rouah, Fabrice D.
Publisher:	Hoboken : Wiley
Subject:	Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Stochastische Volatilität \| Stochastic volatility

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Extent:	Online-Ressource (349 p)
Series:	Wiley Finance Wiley Finance Series Wiley Finance Ser
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record The Heston Model and Its Extensions in VBA; Contents; Foreword; Preface; Acknowledgments; About This Book; VBA Library for Complex Numbers; 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; 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; Heston Terminal Spot Price Effect of Correlation and Volatility of VarianceComparison with Black-Scholes Prices; Heston Implied Volatility; Variance Modeling in the Heston Model; Variance Swap; Dupire Local Volatility; Local Volatility with Finite Differences; Approximate Local Volatility; Numerical Illustration of Local Volatility; Implied Volatility; Moment Explosions; Bounds on Implied Volatility Slope; Conclusion; 3 Derivations Using the Fourier Transform; Derivation of Gatheral (2006); Attari (2004) Representation; Carr and Madan (1999) Representation; Bounds on the Damping Factor and Optimal Value Optimal Damping FactorNumerical Implementation and Illustration; The Representation for Puts; The Representation for OTM Options; Generalization of the OTM Representation; Conclusion; 4 The Fundamental Transform for Pricing Options; The Payoff Transform; The Fundamental Transform and the Option Price; The Fundamental Transform for the Heston Model; The Call Price Using the Fundamental Transform; Option Prices Using Parsevals Identity; Parsevals Identity and the Option Price; Parsevals Identity for the Heston Model; Contour Variations and the Call Price Volatility of Volatility Series ExpansionConclusion; 5 Numerical Integration Schemes; The Integrand in Numerical Integration; Newton-Cotes Formulas; Midpoint Rule; Trapezoidal Rule; Trapezoidal Rule for Double Integrals; Simpsons Rule; Simpsons Three-Eighths Rule; Gaussian Quadrature; Gauss-Laguerre Quadrature; Gauss-Legendre Quadrature; Gauss-Lobatto Quadrature; Gaussian Quadrature for Double Integrals; Integration Limits, Multidomain Integration, and Kahl and Jäckel Transformation; Illustration of Numerical Integration; Fast Fourier Transform; Fractional Fast Fourier Transform; Conclusion 6 Parameter EstimationEstimation Using Loss Functions; The Nelder-Mead Algorithm in VBA; Starting Values; Speeding Up the Estimation; Differential Evolution; Maximum Likelihood Estimation; Risk-Neutral Density and Arbitrage-Free Volatility Surface; Conclusion; 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; 8 American Options; Least-Squares Monte Carlo The Explicit Method
ISBN:	978-1-119-02052-3 ; 978-1-119-00332-8 ; 978-1-119-00330-4
Source:	ECONIS - Online Catalogue of the ZBW

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