Change of Time Methods in Quantitative Finance
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...
| Κύριος συγγραφέας: | |
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| Συγγραφή απο Οργανισμό/Αρχή: | |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Σειρά: | SpringerBriefs in Mathematics,
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.
