Swishchuk, Anatoliy.
Change of time methods in quantitative finance / Anatoliy Swishchuk. - pages cm - SpringerBriefs in mathematics, 2191-8198 .
Includes bibliographical references and index.
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.
9783319324067 : €54.99
2016936745
Mathematics.
Business mathematics.
Finance.
330.015195 , A4/2 Niranjan Associates
Change of time methods in quantitative finance / Anatoliy Swishchuk. - pages cm - SpringerBriefs in mathematics, 2191-8198 .
Includes bibliographical references and index.
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.
9783319324067 : €54.99
2016936745
Mathematics.
Business mathematics.
Finance.
330.015195 , A4/2 Niranjan Associates