LEADER 05585nam 2200661Ia 450 001 9910464108703321 005 20200520144314.0 010 $a981-4440-13-2 035 $a(CKB)2670000000404068 035 $a(EBL)1275555 035 $a(OCoLC)853362767 035 $a(SSID)ssj0000916984 035 $a(PQKBManifestationID)12422321 035 $a(PQKBTitleCode)TC0000916984 035 $a(PQKBWorkID)10877566 035 $a(PQKB)10012064 035 $a(MiAaPQ)EBC1275555 035 $a(WSP)00008660 035 $a(Au-PeEL)EBL1275555 035 $a(CaPaEBR)ebr10731512 035 $a(CaONFJC)MIL502620 035 $a(EXLCZ)992670000000404068 100 $a20121206d2013 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aModeling and pricing of swaps for financial and energy markets with stochastic volatilities$b[electronic resource] /$fAnatoliy Swishchuk 210 $aTeaneck, NJ $cWorld Scientific$dc2013 215 $a1 online resource (326 p.) 300 $aDescription based upon print version of record. 311 $a1-299-71369-6 311 $a981-4440-12-4 320 $aIncludes bibliographical references and index. 327 $aPreface; Acknowledgments; Contents; 1. Stochastic Volatility; 1.1 Introduction; 1.2 Non-Stochastic Volatilities; 1.2.1 Historical Volatility; 1.2.2 Implied Volatility; 1.2.3 Level-Dependent Volatility and Local Volatility; 1.3 Stochastic Volatility; 1.3.1 Approaches to Introduce Stochastic Volatility; 1.3.2 Discrete Models for Stochastic Volatility; 1.3.3 Jump-Diffusion Volatility; 1.3.4 Multi-Factor Models for Stochastic Volatility; 1.4 Summary; Bibliography; 2. Stochastic Volatility Models; 2.1 Introduction; 2.2 Heston Stochastic Volatility Model; 2.3 Stochastic Volatility with Delay 327 $a2.4 Multi-Factor Stochastic Volatility Models2.5 Stochastic Volatility Models with Delay and Jumps; 2.6 Levy-Based Stochastic Volatility with Delay; 2.7 Delayed Heston Model; 2.8 Semi-Markov-Modulated Stochastic Volatility; 2.9 COGARCH(1,1) Stochastic Volatility Model; 2.10 Stochastic Volatility Driven by Fractional Brownian Motion; 2.10.1 Stochastic Volatility Driven by Fractional Ornstein-Uhlenbeck Process; 2.10.2 Stochastic Volatility Driven by Fractional Vasicek Process; 2.10.3 Markets with Stochastic Volatility Driven by Geometric Fractional Brownian Motion 327 $a2.10.4 Stochastic Volatility Driven by Fractional Continuous- Time GARCH Process2.11 Mean-Reverting Stochastic Volatility Model (Continuous-Time GARCH Model) in Energy Markets; 2.12 Summary; Bibliography; 3. Swaps; 3.1 Introduction; 3.2 Definitions of Swaps; 3.2.1 Variance and Volatility Swaps; 3.2.2 Covariance and Correlation Swaps; 3.2.3 Pseudo-Swaps; 3.3 Summary; Bibliography; 4. Change of Time Methods; 4.1 Introduction; 4.2 Descriptions of the Change of Time Methods; 4.2.1 The General Theory of Time Changes; 4.2.1.1 Martingale and Semimartingale Settings of Change of Time 327 $a4.2.1.2 Stochastic Differential Equations Setting of Change of Time4.2.2 Subordinators as Time Changes; 4.2.2.1 Subordinators; 4.2.2.2 Subordinators and Stochastic Volatility; 4.3 Applications of Change of Time Method; 4.3.1 Black-Scholes by Change of Time Method; 4.3.2 An Option Pricing Formula for a Mean-Reverting Asset Model Using a Change of Time Method; 4.3.3 Swaps by Change of Time Method in Classical Heston Model; 4.3.4 Swaps by Change of Time Method in Delayed Heston Model; 4.4 Different Settings of the Change of Time Method; 4.4.0.1 Change of Time Method in Martingale Setting 327 $a4.4.0.2 Change of Time Method in Stochastic Differential Equation Setting4.4.0.3 Examples: Solutions of Some SDEs17; 4.5 Summary; Bibliography; 5. Black-Scholes Formula by Change of Time Method; 5.1 Introduction; 5.2 Black-Scholes Formula by Change of Time Method; 5.2.1 Black-Scholes Formula; 5.2.2 Solution of SDE for Geometric Brownian Motion using Change of Time Method; 5.2.3 Properties of the Process W ( t-1); 5.3 Black-Scholes Formula by Change of Time Method; 5.4 Summary; Bibliography; 6. Modeling and Pricing of Swaps for Heston Model; 6.1 Introduction; 6.2 Variance and Volatility Swaps 327 $a6.2.1 Variance and Volatility Swaps for Heston Model 330 $aModeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems a 606 $aSwaps (Finance)$xMathematical models 606 $aFinance$xMathematical models 606 $aStochastic processes 608 $aElectronic books. 615 0$aSwaps (Finance)$xMathematical models. 615 0$aFinance$xMathematical models. 615 0$aStochastic processes. 676 $a332.64/5 700 $aSvishchuk$b A. V$g(Anatolii? Vital?evich)$0478750 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910464108703321 996 $aModeling and pricing of swaps for financial and energy markets with stochastic volatilities$92274604 997 $aUNINA