Change of time methods in quantitative finance / Anatoliy Swishchuk.
By: Swishchuk, Anatoliy.
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Indian Institute of Management Udaipur A4/2 | 330.015195 (Browse shelf) | 1 | Available |
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330.015195 Basic Econometrics / | 330.015195 Basic Econometrics / | 330.015195 Introductory econometrics : | 330.015195 Change of time methods in quantitative finance / | 330.015195 Mostly harmless econometrics : an empiricist's companion | 330.015195 Mostly harmless econometrics : an empiricist's companion | 330.01519502855133 Using R for introductory econometrics / |
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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