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The Heston Model and Its Extensions in Matlab and C# 书本的代码
0 个回复 - 1950 次查看 MATLAB代码2022-4-21 09:57 - jakechan - 经管代码库

【经典教材系列】The Heston Model and Its Extensions in VBA
50 个回复 - 12447 次查看 2015年最新教材，著名的随机波动率模型Heston Model，降价出售3天，想要随时跟踪最新好书，请点击头像下方“加关注”。关注成功后，查看这里即可：三步走把千本好书“一网打尽”！。 [相关阅读] 【经典教材系列 ...2016-1-25 08:46 - wwqqer - 金融学（理论版）

The Heston Model and its Extensions in Matlab and C#
20 个回复 - 9083 次查看【作者(必填)】Fabrice D. Rouah 【文题(必填)】The Heston Model and its Extensions in Matlab and C# 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://www.amazon.com/dp/1118548256 Looki ...2013-7-21 09:25 - johnzi0128 - 求助成功区

A closed-form pricing formula for European options under the Heston model
1 个回复 - 797 次查看【作者(必填)】Xin-JiangHe Song-PingZhu 【文题(必填)】A closed-form pricing formula for European options under the Heston model with stochastic interest rate[/backcolor] 【年份(必填)】2018 【全文 ...2018-3-27 11:26 - exuan1991 - 求助成功区

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation
1 个回复 - 1358 次查看【作者(必填)】Anthonie van der Stoep[/backcolor]Lech A. Grzelak[/backcolor]Cornelis W. Oosterlee[/backcolor] 【文题(必填)】 The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simula ...2018-1-28 20:12 - Bumboo - 求助成功区

Pricing of foreign exchange options under the Heston stochastic volatility model
2 个回复 - 1109 次查看【作者(必填)】 REHEZ AHLIPa & MAREK RUTKOWSKIb* 【文题(必填)】 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates 【年份(必填)】 Volume 13, Is ...2014-5-9 08:10 - sqq19860225 - 求助成功区

Simple and efficient simulation of the Heston stochastic volatility model
2 个回复 - 1060 次查看【作者(必填)】 Andersen, Leif 【文题(必填)】 Simple and efficient simulation of the Heston stochastic volatility model 【年份(必填)】 2008 【全文链接或数据库名称(选填)】 Journal of Computation ...2016-11-28 19:39 - Bumboo - 求助成功区

求Maximum likelihood estimation of the Heston stochastic volatility model using
8 个回复 - 1203 次查看【作者(必填)】Francesca MarianiGraziella PacelliFrancesco Zirilli 【文题(必填)】Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application ...2016-10-17 19:53 - weilinhy - 求助成功区

求Maximum likelihood estimation of the Heston stochastic volatility model using
2 个回复 - 840 次查看【作者(必填)】Francesca Mariani[/backcolor], Graziella Pacelli[/backcolor], Francesco Zirilli[/backcolor] 【文题(必填)】Maximum likelihood estimation of the Heston stochastic volatility model using ...2016-9-4 11:55 - weilinhy - 求助成功区

求ON THE HESTON MODEL WITH STOCHASTIC CORRELATION
3 个回复 - 1027 次查看【作者(必填)】LONG TENG1, *MATTHIAS EHRHARDT1 MICHAEL GüNTHER1 【文题(必填)】ON THE HESTON MODEL WITH STOCHASTIC CORRELATION 【年份(必填)】2016 【全文链接或数据库名称(选填)】Int. J. Theor. ...2016-8-24 13:29 - weilinhy - 求助成功区

Pricing volatility swaps in the Heston’s stochastic volatility model with regim
1 个回复 - 424 次查看【作者(必填)】Mengzhe Zhang[/backcolor] and Leunglung Chan[/backcolor] 【文题(必填)】Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint a ...2019-11-10 20:49 - Alicefree - 求助成功区

【学习笔记】请问谁有这本书的 ...
1 个回复 - 513 次查看请问谁有这本书的电子版，谢谢2019-8-21 09:59 - 8610_1566292249 - Forum

关于heston model参数含义
0 个回复 - 1274 次查看最近在对波动率建模，用heston model进行参数估计时有些疑问。比如果上图的theta，是否可以理解为波动率的均值？是否可以不通过模型矫正，直接通过历史波动率计算得出？其他的参数也能通过历史波动率计算获得 ...2018-3-2 15:49 - caramel.eki - 量化投资

The Heston Model and its Extensions in Matlab and C#
3 个回复 - 1910 次查看 http://www.wiley.com/WileyCDA/WileyTitle/productCd-1118548256.html2016-10-30 11:33 - Nicolle - winbugs及其他软件专版

如何用R实现Heston model
0 个回复 - 1013 次查看目前只能做出Black-Scholes，但不知道如何实现Heston2017-8-23 23:13 - manyouzhe123456 - 金融学（理论版）

Heston Model Reference Books
8 个回复 - 1716 次查看 Those books indeed assist me a lot in understanding the Heston Model. Wish you like it. Best regards2016-7-22 22:26 - Bryant_Mafin - CFA、CVA、FRM等金融考证论坛

ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL
3 个回复 - 813 次查看【作者(必填)】M. COSTABILE 【文题(必填)】ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL 【年份(必填)】2012 【全文链接或数据库名称(选填)】http://www.worldscientific.com/doi/abs/10 ...2015-10-12 22:08 - hnu123 - 求助成功区

Estimating Heston's and Bates' models parameters
2 个回复 - 1494 次查看【作者(必填)】Liebnerd, Qin Lud* & M. Linh Nguyend 【文题(必填)】Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation 【年份(必填)】2014 【全文链接或数 ...2014-7-23 10:45 - lipj - 求助成功区

Pricing of geometric Asian options under Heston's stochastic volatility model
1 个回复 - 1058 次查看【作者(必填)】【文题(必填)】Pricing of geometric Asian options under Heston's stochastic volatility model 【年份(必填)】【全文链接或数据库名称(选填)】http://www.tandfonline.com/doi/abs/10.1080/ ...2015-6-10 04:29 - ssylzz - 求助成功区

heston model
0 个回复 - 1812 次查看已解决2015-3-26 12:46 - yufangping - MATLAB等数学软件专版

Pricing of foreign exchange options under the Heston stochastic volatility model
0 个回复 - 1801 次查看 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates REHEZ AHLIPa & MAREK RUTKOWSKIb* Accepted: 10 Jan 2013Published online: 16 May 2013Quantitati ...2014-5-8 19:25 - sqq19860225 - 论文版

有没有人精通QE-M SCHEME IN HESTON MODEL
0 个回复 - 914 次查看现在在编程，用Quadratic-Exponential scheme[/backcolor]----martingale correction ，有点问题，请问有人会么？2013-7-14 09:11 - 莫某某 - MATLAB等数学软件专版

A Simple and Accurate Simulation Approach to the Heston Model
4 个回复 - 1047 次查看【作者(必填)】 Jianwei Zhu 【文题(必填)】 A Simple and Accurate Simulation Approach to the Heston Model 【年份(必填)】2011 【全文链接或数据库名称(选填)】 http://www.iijournals.com/doi/abs/10 ...2013-7-5 07:36 - johnzi0128 - 求助成功区

Efficient, Almost Exact Simulation of the Heston Stochastic Volatility Model
2 个回复 - 1301 次查看【作者(必填)】ALEXANDER VAN HAASTRECHT and ANTOON PELSSER 【文题(必填)】 fficient, Almost Exact Simulation of the Heston Stochastic Volatility Model 【年份(必填)】2010 International Journal of ...2013-7-5 07:34 - johnzi0128 - 求助成功区

Optimal portfolios and Heston's stochastic volatility model
0 个回复 - 1999 次查看 Optimal portfolios and Heston's stochastic volatility model an explicit solution for power utility2010-1-7 23:48 - zengyan1984 - 论文版

请问Heston model里面的参数可以拿别的论文里估计好的来用吗
3 个回复 - 2554 次查看写了篇关于Stochastic volatility的论文，现在发现估计那些参数很难估计啊，是不是可以拿别人估计出来的直接计算价格2009-7-22 03:08 - goozilla - 经济金融数学专区

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