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Author:   Anatoliy Swishchuk
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   1st ed. 2016
Dimensions:   Width: 15.50cm , Height: 0.80cm , Length: 23.50cm
Weight:   2.292kg
ISBN:  

9783319324067

ISBN 10:   3319324063
Pages:   128
Publication Date:   28 July 2016
Audience:   College/higher education ,  Professional and scholarly ,  Tertiary & Higher Education ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of 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.

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