The Resource Change of time methods in quantitative finance, Anatoliy Swishchuk
Change of time methods in quantitative finance, Anatoliy Swishchuk
Resource Information
The item Change of time methods in quantitative finance, Anatoliy Swishchuk represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item Change of time methods in quantitative finance, Anatoliy Swishchuk represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource (xv, 128 pages)
- 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
- Isbn
- 9783319324081
- Label
- Change of time methods in quantitative finance
- Title
- Change of time methods in quantitative finance
- Statement of responsibility
- Anatoliy Swishchuk
- 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
- 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
- Label
- Change of time methods in quantitative finance, Anatoliy Swishchuk
- 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
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations (some color).
- Reformatting quality
- preservation
- Sound
- unknown sound
- Specific material designation
- remote
- System control number
-
- SPR951028425
- ocn951028425
- Label
- Change of time methods in quantitative finance, Anatoliy Swishchuk
- 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
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations (some color).
- Reformatting quality
- preservation
- Sound
- unknown sound
- Specific material designation
- remote
- System control number
-
- SPR951028425
- ocn951028425
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/Change-of-time-methods-in-quantitative-finance/xo22vnw-M9c/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/Change-of-time-methods-in-quantitative-finance/xo22vnw-M9c/">Change of time methods in quantitative finance, Anatoliy Swishchuk</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">University of Liverpool</a></span></span></span></span></div>
