LEADER 00980nam0 2200289 450 001 000016819 005 20081002105805.0 010 $a0262041413$bvol. 1 100 $a20081002g19941999km-y0itay50------ba 101 0 $aeng 102 $aUS$aGB 105 $ay-------001yy 200 1 $aComplex economic dynamics$fRichard H. Day 210 $aCambridge (Mass.)$aLondon$cThe MIT press$d1994-1999 215 $a2 v.$d24 cm 225 2 $aStudies in dymamical economic science 327 0 $a1.: An introduction to dynamical systems and market mechanisms 410 0$12001$aStudies in dymamical economic science 610 1 $aEconomia$aModelli matematici 610 1 $aSistemi dinamici 676 $a330.0151$v20$9Scienze economiche. Principi matematici 700 1$aDay,$bRichard Hollis$0631883 801 0$aIT$bUNIPARTHENOPE$c20081002$gRICA$2UNIMARC 912 $a000016819 951 $a213/54$b7575$cNAVA2 996 $aComplex economic dynamics$91201844 997 $aUNIPARTHENOPE LEADER 03366nam 22005055 450 001 9910254073403321 005 20251113195232.0 010 $a3-319-32408-X 024 7 $a10.1007/978-3-319-32408-1 035 $a(CKB)3710000000717748 035 $a(EBL)4537039 035 $a(DE-He213)978-3-319-32408-1 035 $a(MiAaPQ)EBC4537039 035 $a(PPN)194077861 035 $a(EXLCZ)993710000000717748 100 $a20160531d2016 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aChange of Time Methods in Quantitative Finance /$fby Anatoliy Swishchuk 205 $a1st ed. 2016. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2016. 215 $a1 online resource (140 p.) 225 1 $aSpringerBriefs in Mathematics,$x2191-8201 300 $aDescription based upon print version of record. 311 08$a3-319-32406-3 320 $aIncludes bibliographical references at the end of each chapters and index. 327 $aIntroduction to the Change of Time Methods: History, Finance and Stochastic Volatility -- Change of Time Methods: Definitions and Theory -- Applications of the Change of Time Methods -- Change of Time Method (CTM) and Black-Scholes Formula -- CTM and Variance, Volatility, Covariance and Correlation Swaps for the Classical Heston Model -- CTM and the Delayed Heston Model: Pricing and Hedging of Variance and Volatility Swaps -- CTM and the Explicit Option Pricing Formula for a Mean-reverting Asset in Energy Markets -- CTM and Multi-Factor Levy Models for Pricing Financial and Energy Derivatives -- Epilogue. 330 $aThis book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models. Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale. 410 0$aSpringerBriefs in Mathematics,$x2191-8201 606 $aSocial sciences$xMathematics 606 $aMathematics in Business, Economics and Finance 615 0$aSocial sciences$xMathematics. 615 14$aMathematics in Business, Economics and Finance. 676 $a650.01513 700 $aSwishchuk$b Anatoliy$4aut$4http://id.loc.gov/vocabulary/relators/aut$0755861 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910254073403321 996 $aChange of time methods in quantitative finance$91523222 997 $aUNINA