The Resource Change of time methods in quantitative finance, Anatoliy Swishchuk

Change of time methods in quantitative finance, Anatoliy Swishchuk

Label
Change of time methods in quantitative finance
Title
Change of time methods in quantitative finance
Statement of responsibility
Anatoliy Swishchuk
Creator
Author
Subject
Genre
Language
eng
Summary
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
Member of
Cataloging source
N$T
http://library.link/vocab/creatorName
Svishchuk, A. V.
Dewey number
330.01/5195
Illustrations
illustrations
Index
index present
LC call number
HF5691
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
SpringerBriefs in mathematics,
http://library.link/vocab/subjectName
  • Business mathematics
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • Business mathematics
  • Finance & accounting
Label
Change of time methods in quantitative finance, Anatoliy Swishchuk
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-3-319-32408-1
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Dimensions
unknown
Extent
1 online resource (xv, 128 pages)
File format
unknown
Form of item
online
Isbn
9783319324081
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
SpringerLink
Other physical details
illustrations (some color).
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)951028425
  • (OCoLC)ocn951028425
Label
Change of time methods in quantitative finance, Anatoliy Swishchuk
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-3-319-32408-1
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Dimensions
unknown
Extent
1 online resource (xv, 128 pages)
File format
unknown
Form of item
online
Isbn
9783319324081
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
SpringerLink
Other physical details
illustrations (some color).
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)951028425
  • (OCoLC)ocn951028425

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