The Heston Model and Its Extensions in VBA / Wiley Finance Editions (ePub)

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.