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

Nyckelord: Mathematics, Quantitative Finance