9783319324067 - Change of Time Methods in Quantitative Finance (SpringerBriefs in Mathematics) de Swishchuk, Anatoliy (10 resultados)

Condición: New. pp. 128.

Paperback. Condición: Brand New. 144 pages. 9.00x6.00x0.25 inches. In Stock.

Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 numericalexamples 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 anddelayed 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.

Taschenbuch. Condición: Neu. Change of Time Methods in Quantitative Finance | Anatoliy Swishchuk | Taschenbuch | SpringerBriefs in Mathematics | xv | Englisch | 2016 | Springer | EAN 9783319324067 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Condición: new. Questo è un articolo print on demand.

Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 numericalexamples 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 anddelayed 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. 144 pp. Englisch.

Condición: New. Print on Demand pp. 128.

Condición: New. PRINT ON DEMAND pp. 128.

Kartoniert / Broschiert. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. New approach in quantitative finance-change of time method (for standard diffusion and Levy-based finance models), which is different from a traditional one using subordinatorsContains the solutions of new problems in quantitative finance such as .

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 144 pp. Englisch.