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Change of Time Methods in Quantitative Finance

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Change of Time Methods in Quantitative Finance/ by Anatoliy Swishchuk.
作者:	Swishchuk, Anatoliy.
面頁冊數:	XV, 128 p. 11 illus., 10 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Economics, Mathematical . -
電子資源:	https://doi.org/10.1007/978-3-319-32408-1
ISBN:	9783319324081

Change of Time Methods in Quantitative Finance
Swishchuk, Anatoliy.

Change of Time Methods in Quantitative Finance[electronic resource] /by Anatoliy Swishchuk. - 1st ed. 2016. - XV, 128 p. 11 illus., 10 illus. in color.online resource. - SpringerBriefs in Mathematics,2191-8198. - SpringerBriefs in Mathematics,.

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.

This 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.

ISBN: 9783319324081

Standard No.: 10.1007/978-3-319-32408-1doiSubjects--Topical Terms:

1253712
Economics, Mathematical .

LC Class. No.: HB135-147

Dewey Class. No.: 519

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