Change of time methods in quantitative finance:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Cham]
Springer
[2016]
|
| Schriftenreihe: | SpringerBriefs in mathematics
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FHR01 FRO01 TUM01 UBM01 UBT01 UBW01 UEI01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource (XV, 128 Seiten, 11 illus., 10 illus. in color) |
| ISBN: | 9783319324081 |
| ISSN: | 2191-8198 |
| DOI: | 10.1007/978-3-319-32408-1 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804176260912381952 |
|---|---|
| adam_text | CHANGE OF TIME METHODS IN QUANTITATIVE FINANCE
/ SWISHCHUK, ANATOLIY
: 2016
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
CHANGE OF TIME METHODS IN QUANTITATIVE FINANCE
/ SWISHCHUK, ANATOLIY
: 2016
ABSTRACT / INHALTSTEXT
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| isbn | 9783319324081 |
| issn | 2191-8198 |
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| spelling | Sviščuk, Anatolij Verfasser (DE-588)1048087905 aut Change of time methods in quantitative finance Anatoliy Swishchuk [Cham] Springer [2016] 1 Online-Ressource (XV, 128 Seiten, 11 illus., 10 illus. in color) txt rdacontent c rdamedia cr rdacarrier SpringerBriefs in mathematics 2191-8198 Mathematics Economics, Mathematical Quantitative Finance Mathematik Erscheint auch als Druckausgabe 978-3-319-32406-7 https://doi.org/10.1007/978-3-319-32408-1 Verlag URL des Erstveröffentlichers Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028994254&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028994254&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Sviščuk, Anatolij Change of time methods in quantitative finance Mathematics Economics, Mathematical Quantitative Finance Mathematik |
| title | Change of time methods in quantitative finance |
| title_auth | Change of time methods in quantitative finance |
| title_exact_search | Change of time methods in quantitative finance |
| title_full | Change of time methods in quantitative finance Anatoliy Swishchuk |
| title_fullStr | Change of time methods in quantitative finance Anatoliy Swishchuk |
| title_full_unstemmed | Change of time methods in quantitative finance Anatoliy Swishchuk |
| title_short | Change of time methods in quantitative finance |
| title_sort | change of time methods in quantitative finance |
| topic | Mathematics Economics, Mathematical Quantitative Finance Mathematik |
| topic_facet | Mathematics Economics, Mathematical Quantitative Finance Mathematik |
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