Modeling and Pricing of Swaps for Financial and Energy Markets With Stochastic Volatilities - Rilegato

Swishchuk, Anatoliy

Rilegato

ISBN 10: 9814440124 ISBN 13: 9789814440127

Casa editrice: World Scientific Pub Co Inc, 2013

Riassunto

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 CORAGCH(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 also contains content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index are presented.

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Product Description

Book by Anatoliy Swishchuk

Dettagli dell'edizione

• Editore: World Scientific Pub Co Inc
• Data di pubblicazione: 2013
• Lingua: Inglese
• ISBN 10: 9814440124
• ISBN 13: 9789814440127
• Rilegatura: Copertina rigida
• Numero di pagine: 303
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile