Swishchuk, Anatoliy
Change of Time Methods in Quantitative Finance
1. Introduction to the Change of Time Methods: History, Finance and Stochastic Volatility
Anatoliy Swishchuk
2. Change of Time Methods: Definitions and Theory
Anatoliy Swishchuk
3. Applications of the Change of Time Methods
Anatoliy Swishchuk
4. Change of Time Method (CTM) and Black-Scholes Formula
Anatoliy Swishchuk
5. CTM and Variance, Volatility, and Covariance and Correlation Swaps for the Classical Heston Model
Anatoliy Swishchuk
6. CTM and the Delayed Heston Model: Pricing and Hedging of Variance and Volatility Swaps
Anatoliy Swishchuk
7. CTM and the Explicit Option Pricing Formula for a Mean-Reverting Asset in Energy Markets
Anatoliy Swishchuk
8. CTM and Multifactor Lévy Models for Pricing Financial and Energy Derivatives
Anatoliy Swishchuk
Keywords: Mathematics, Quantitative Finance
- Author(s)
- Swishchuk, Anatoliy
- Publisher
- Springer
- Publication year
- 2016
- Language
- en
- Edition
- 1
- Series
- SpringerBriefs in Mathematics
- Page amount
- 15 pages
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9783319324081
- Printed ISBN
- 978-3-319-32406-7