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

T he website that accompanies this book contains extensive libraries of Matlab and C# code. The code includes dozens of functions for implementing all the methods covered in the book. It also includes scripts and market data to reproduce examples in the book. The code assumes intermediate-level familiarity with Matlab and C# as well as an understanding of basic programming principles.

File names have chosen in an intuitive fashion, so that, for example, the file “BisectionBSIV” implements the bisection algorithm for finding Black-Scholes implied volatilities, while “GenerateGaussLaguerre” generates abscissas and weights for Gauss-Laguerre quadrature. Whenever possible, the filenames are identical in Matlab and in C#, except for the file extension.

CODE FUNCTIONALITY BY CHAPTER

All of the functions and examples in the book have been coded in both Matlab and C#. The following table describes the functionality of the code, chapter-by–chapter. Please note that some functions, such as linear regression or interpolation, are not built into C#, and are included with the C# code. In Matlab, however, these are available as built-in functions and are therefore not coded. In some cases, usually to speed up computations, built-in Matlab functions are not used and separate functions are coded instead. The code also includes scripts to generate most of the figures in the book, but in Matlab ...