Change of Time Methods in Quantitative Finance

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Accounting
Cover of the book Change of Time Methods in Quantitative Finance by Anatoliy Swishchuk, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Anatoliy Swishchuk ISBN: 9783319324081
Publisher: Springer International Publishing Publication: May 31, 2016
Imprint: Springer Language: English
Author: Anatoliy Swishchuk
ISBN: 9783319324081
Publisher: Springer International Publishing
Publication: May 31, 2016
Imprint: Springer
Language: English

This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models.

Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models.

Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale.

More books from Springer International Publishing

Cover of the book Language and the Right to Fair Hearing in International Criminal Trials by Anatoliy Swishchuk
Cover of the book Small States and EU Governance by Anatoliy Swishchuk
Cover of the book Computer Vision – ECCV 2018 by Anatoliy Swishchuk
Cover of the book Bioinformatics and Biomedical Engineering by Anatoliy Swishchuk
Cover of the book Individualized Medicine by Anatoliy Swishchuk
Cover of the book Modeling, Analysis, and Visualization of Anisotropy by Anatoliy Swishchuk
Cover of the book Bladder Pain Syndrome – An Evolution by Anatoliy Swishchuk
Cover of the book Progress in Cryptology -- INDOCRYPT 2015 by Anatoliy Swishchuk
Cover of the book Reducing Mortality in Critically Ill Patients by Anatoliy Swishchuk
Cover of the book Carpal Tunnel Syndrome and Related Median Neuropathies by Anatoliy Swishchuk
Cover of the book Human Trafficking Finances by Anatoliy Swishchuk
Cover of the book Information Security Education. Education in Proactive Information Security by Anatoliy Swishchuk
Cover of the book Polyglutamine Disorders by Anatoliy Swishchuk
Cover of the book Singularities and Foliations. Geometry, Topology and Applications by Anatoliy Swishchuk
Cover of the book Brain-Computer Interface Research by Anatoliy Swishchuk
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy