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Change of Time Methods in Quantitative Finance (SpringerBriefs in Mathematics) - Tapa blanda

Libro 73 de 155: SpringerBriefs in Mathematics

Swishchuk, Anatoliy

 
9783319324067: Change of Time Methods in Quantitative Finance (SpringerBriefs in Mathematics)
Tapa blanda
ISBN 10: 3319324063 ISBN 13: 9783319324067
Editorial: Springer, 2016

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2016
Idioma
Inglés
ISBN 10 
3319324063
ISBN 13 
9783319324067
Encuadernación
Tapa blanda
Número de edición
1
Número de páginas
144
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