Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities

Author:   Anatoliy Swishchuk (Univ Of Calgary, Canada)
Publisher:   World Scientific Publishing Co Pte Ltd
ISBN:  

9789814440127


Pages:   328
Publication Date:   31 July 2013
Format:   Hardback
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities


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Overview

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 COGARCH(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 considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index.

Full Product Details

Author:   Anatoliy Swishchuk (Univ Of Calgary, Canada)
Publisher:   World Scientific Publishing Co Pte Ltd
Imprint:   World Scientific Publishing Co Pte Ltd
Dimensions:   Width: 16.80cm , Height: 2.30cm , Length: 24.90cm
Weight:   0.703kg
ISBN:  

9789814440127


ISBN 10:   9814440124
Pages:   328
Publication Date:   31 July 2013
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of 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.

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