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EBOOK
Author Svishchuk, A. V. (Anatolii Vitalevich)
Title Modeling and pricing of swaps for financial and energy markets with stochastic volatilities / by Anatoliy Swishchuk, University of Calgary, Canada.
Imprint [Hackensack, New Jersey] : World Scientific, [2013]

Author Svishchuk, A. V. (Anatolii Vitalevich)
Subject Swaps (Finance) -- Mathematical models.
Finance -- Mathematical models.
Stochastic processes.
Description 1 online resource (328 pages)
Note Includes index.
Print version record.
Bibliography Note Includes bibliographical references and index.
Contents Stochastic Volatility Models (SVM); Swaps; Change of Time Method; Black-Scholes Formula by Change of Time Method; Explicit Option Pricing Formula for a Mean-reverting Model in Energy Markets; Modeling and Pricing Swaps for Heston Model; Modeling and Pricing of Variance Swaps for SVM with Delay; Modeling and Pricing of Variance Swaps for Multi-Factor SVM with Delay; Modeling and Pricing of Variance Swaps for SVM with Delay and Jumps; Modeling and Pricing of Variance Swaps for Regime-Switching SVM; Modeling and Pricing of Swaps for COGARCH(1,1) SVM; Modeling and Pricing of Swaps for SV Driven by Fractional Brownian Motion; Modeling and Pricing of Swaps for SV Driven by Levy Processes; Delayed Heston Model; Covariance and Correlation Swaps for Markov and Semi-Markov Stochastic Volatilities; Variance and Volatility Swaps in Energy Markets; Forward and Futures in Energy Markets.
Summary Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and CORAGCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book also contains content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Many numerical examples such as S & P60 Canada Index, S & P500 Index and AECO Natural Gas Index are presented.
ISBN 1299713696 (ebk)
9781299713697 (ebk)
9789814440134 (electronic bk.)
9814440132 (electronic bk.)
9789814440127
9814440124
OCLC # 851695503
Additional Format Print version


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