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Modeling and pricing of swaps for financial and energy markets with stochastic volatilities [[electronic resource] /] / Anatoliy Swishchuk
| Modeling and pricing of swaps for financial and energy markets with stochastic volatilities [[electronic resource] /] / Anatoliy Swishchuk |
| Autore | Svishchuk A. V (Anatoliĭ Vitalʹevich) |
| Pubbl/distr/stampa | Teaneck, NJ, : World Scientific, c2013 |
| Descrizione fisica | 1 online resource (326 p.) |
| Disciplina | 332.64/5 |
| Soggetto topico |
Swaps (Finance) - Mathematical models
Finance - Mathematical models Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN | 981-4440-13-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.4 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 2.10.4 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 4.2.1.2 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 4.4.0.2 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 6.2.1 Variance and Volatility Swaps for Heston Model |
| Record Nr. | UNINA-9910464108703321 |
Svishchuk A. V (Anatoliĭ Vitalʹevich)
|
||
| Teaneck, NJ, : World Scientific, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling and pricing of swaps for financial and energy markets with stochastic volatilities / / Anatoliy Swishchuk, University of Calgary, Canada
| Modeling and pricing of swaps for financial and energy markets with stochastic volatilities / / Anatoliy Swishchuk, University of Calgary, Canada |
| Autore | Svishchuk A. V (Anatoliĭ Vitalʹevich) |
| Pubbl/distr/stampa | Teaneck, NJ, : World Scientific, c2013 |
| Descrizione fisica | 1 online resource (xxii, 303 pages) : illustrations (some color) |
| Disciplina | 332.64/5 |
| Collana | Gale eBooks |
| Soggetto topico |
Swaps (Finance) - Mathematical models
Finance - Mathematical models Stochastic processes |
| ISBN | 981-4440-13-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.4 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 2.10.4 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 4.2.1.2 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 4.4.0.2 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 6.2.1 Variance and Volatility Swaps for Heston Model |
| Record Nr. | UNINA-9910787694203321 |
|
Svishchuk A. V (Anatoliĭ Vitalʹevich)
|
||
| Teaneck, NJ, : World Scientific, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling and pricing of swaps for financial and energy markets with stochastic volatilities / / Anatoliy Swishchuk, University of Calgary, Canada
| Modeling and pricing of swaps for financial and energy markets with stochastic volatilities / / Anatoliy Swishchuk, University of Calgary, Canada |
| Autore | Svishchuk A. V (Anatoliĭ Vitalʹevich) |
| Pubbl/distr/stampa | Teaneck, NJ, : World Scientific, c2013 |
| Descrizione fisica | 1 online resource (xxii, 303 pages) : illustrations (some color) |
| Disciplina | 332.64/5 |
| Collana | Gale eBooks |
| Soggetto topico |
Swaps (Finance) - Mathematical models
Finance - Mathematical models Stochastic processes |
| ISBN | 981-4440-13-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.4 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 2.10.4 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 4.2.1.2 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 4.4.0.2 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 6.2.1 Variance and Volatility Swaps for Heston Model |
| Record Nr. | UNINA-9910807429803321 |
|
Svishchuk A. V (Anatoliĭ Vitalʹevich)
|
||
| Teaneck, NJ, : World Scientific, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
