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Author Svishchuk, A. V. (Anatoliĭ Vitalʹevich),
Title Change of time methods in quantitative finance / Anatoliy Swishchuk.
Imprint Switzerland : Springer, 2016.

LOCATION CALL # STATUS MESSAGE
 OHIOLINK SPRINGER EBOOKS    ONLINE  
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Author Svishchuk, A. V. (Anatoliĭ Vitalʹevich),
Series SpringerBriefs in mathematics, 2191-8198
SpringerBriefs in mathematics.
Subject Business mathematics.
LOCATION CALL # STATUS MESSAGE
 OHIOLINK SPRINGER EBOOKS    ONLINE  
View online
Author Svishchuk, A. V. (Anatoliĭ Vitalʹevich),
Series SpringerBriefs in mathematics, 2191-8198
SpringerBriefs in mathematics.
Subject Business mathematics.
Description 1 online resource (xv, 128 pages) : illustrations (some color).
polychrome rdacc
Bibliography Note Includes bibliographical references and index.
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.
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.
Note Online resource; title from PDF title page (SpringerLink, viewed June 14, 2016).
ISBN 9783319324081 (electronic bk.)
331932408X (electronic bk.)
3319324063
9783319324067
9783319324067 (print)
OCLC # 951028425
Additional Format Print version: Swishchuk, Anatoliy. Change of Time Methods in Quantitative Finance. Cham : Springer International Publishing, 2016 9783319324067


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