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Change of Time Methods in Quantitative Finance [[electronic resource] /] / by Anatoliy Swishchuk
| Change of Time Methods in Quantitative Finance [[electronic resource] /] / by Anatoliy Swishchuk |
| Autore | Swishchuk Anatoliy |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Descrizione fisica | 1 online resource (140 p.) |
| Disciplina | 650.01513 |
| Collana | SpringerBriefs in Mathematics |
| Soggetto topico |
Economics, Mathematical
Quantitative Finance |
| ISBN | 3-319-32408-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction 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. |
| Record Nr. | UNINA-9910254073403321 |
Swishchuk Anatoliy
|
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Change of time methods in quantitative finance / Anatoliy Swishchuk
| Change of time methods in quantitative finance / Anatoliy Swishchuk |
| Autore | Swishchuk, Anatoliy |
| Pubbl/distr/stampa | [Cham], : Springer, 2016 |
| Descrizione fisica | XV, 128 p. : ill. ; 24 cm |
| Soggetto topico |
60J74 - Jump processes on discrete state spaces [MSC 2020]
60G44 - Martingales with continuous parameter [MSC 2020] 60H10 - Stochastic ordinary differential equations [MSC 2020] 91B74 - Economic models of real-world systems (e.g., electricity markets, etc.) [MSC 2020] 60J76 - Jump processes on general state spaces [MSC 2020] |
| Soggetto non controllato |
Change of Time Method
Geometric Brownian Motion Mean-reverting Asset Multi-factor Levy Models Quantitative Finance Stochastic differential equations |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0114524 |
|
Swishchuk, Anatoliy
|
||
| [Cham], : Springer, 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Change of time methods in quantitative finance / Anatoliy Swishchuk
| Change of time methods in quantitative finance / Anatoliy Swishchuk |
| Autore | Swishchuk, Anatoliy |
| Edizione | [[Cham] : Springer, 2016] |
| Pubbl/distr/stampa | XV, 128 p., : ill. ; 24 cm |
| Descrizione fisica | Pubblicazione in formato elettronico |
| Soggetto topico |
60J74 - Jump processes on discrete state spaces [MSC 2020]
60G44 - Martingales with continuous parameter [MSC 2020] 60H10 - Stochastic ordinary differential equations [MSC 2020] 91B74 - Economic models of real-world systems (e.g., electricity markets, etc.) [MSC 2020] 60J76 - Jump processes on general state spaces [MSC 2020] |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0114524 |
|
Swishchuk, Anatoliy
|
||
| XV, 128 p., : ill. ; 24 cm | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||