The Heston Model and its Extensions in Matlab and C#, + Website

I am pleased to introduce The Heston Model and Its Extensions in Matlab and C# by Fabrice Rouah. Although I was already familiar with his previous book entitled Option Pricing Models and Volatility Using Excel/VBA, I was pleasantly surprised to discover he had written a book devoted exclusively to the model that I developed in 1993 and to the many enhancements that have been brought to the original model in the twenty years since its introduction. Obviously, this focus makes the book more specialized than his previous work. Indeed, it contains detailed analyses and extensive computer implementations that will appeal to careful, interested readers. This book should interest a broad audience of practitioners and academics, including graduate students, quants on trading desks and in risk management, and researchers in option pricing and financial engineering.

There are existing computer programs for calculating option prices, such as those in Rouah's prior book or those available on Bloomberg systems. But this book offers more. In particular, it contains detailed theoretical analyses in addition to practical Matlab and C# code for implementing not only the original model, but also the many extensions that academics and practitioners have developed specifically for the model. The book analyzes numerical integration, the calculation of Greeks, American options, many simulation–based ...