August 7, 2013

New Book on Heston Model | Coming Soon

A new book on the Heston Model, written by Dr. Fabrice Rouah, is available for pre-order on Amazon. It is due to be released on August 26th.

Wikipedia: In finance, the Heston model, named after Steven Heston, is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even deterministic, but follows a random process.

The book has received endorsements from some highly respected quants including Jim Gatheral, Andrew Lesniewski, and Steven Heston himself. Heston has also written the foreword to Dr. Rouah's book. This is a highly recommended text for students and practitioners interested in:

  • Understanding the principles of the original Heston Model and deriving its solutions.
  • Understanding the many extensions that have been made to the model since its inception.
  • Implementing the model, paying close attention to aspects such as numerical integration techniques and model calibration.

Dr. Rouah's professional website, Volopta, is well worth a visit for quantitative analysts interested in building models in C++, Matlab or Excel/VBA. In addition, Dr. Rouah's personal website is well worth a visit for guitar enthusiasts. -Ben L

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