Change of time methods in quantitative finance / Anatoliy Swishchuk.
By: Swishchuk, Anatoliy.
Material type:
BookSeries: SpringerBriefs in mathematics.Publisher: New York, NY : Springer Science+Business Media, 2016.Description: pages cm.Content type: text Media type: unmediated Carrier type: volumeISBN: 9783319324067 :.Subject(s): Mathematics | Business mathematics | FinanceDDC classification: 330.015195 Online resources: Publisher description | Table of contents only
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.
| Item type | Current location | Call number | Copy number | Status | Date due |
|---|---|---|---|---|---|
Monograph
|
Indian Institute of Management Udaipur A4/2 | 330.015195 (Browse shelf) | 1 | Available |
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.
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