Modeling and pricing of swaps for financial and energy markets with stochastic volatilities:
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, whic...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Pub. Co.
c2013
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| Schlagworte: | |
| Online-Zugang: | FHN01 Volltext |
| Zusammenfassung: | 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, Lévy-based, semi-Markov and COGARCH(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 considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Lévy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index |
| Beschreibung: | xxii, 303 p. ill. (some col.) |
| ISBN: | 9789814440134 |
Internformat
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| 520 | |a 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, Lévy-based, semi-Markov and COGARCH(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 considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Lévy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index | ||
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV044639214 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:57:55Z |
| institution | BVB |
| isbn | 9789814440134 |
| language | English |
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| spelling | Svishchuk, A. V. Verfasser aut Modeling and pricing of swaps for financial and energy markets with stochastic volatilities Anatoliy Swishchuk Singapore World Scientific Pub. Co. c2013 xxii, 303 p. ill. (some col.) txt rdacontent c rdamedia cr rdacarrier 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, Lévy-based, semi-Markov and COGARCH(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 considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Lévy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index Swaps (Finance) / Mathematical models Finance / Mathematical models Stochastic processes Swap (DE-588)4199581-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Energiemarkt (DE-588)4014712-5 gnd rswk-swf Swap (DE-588)4199581-8 s Volatilität (DE-588)4268390-7 s Kreditmarkt (DE-588)4073788-3 s Energiemarkt (DE-588)4014712-5 s 1\p DE-604 Erscheint auch als Druck-Ausgabe 9789814440127 (hardcover : alk. paper) http://www.worldscientific.com/worldscibooks/10.1142/8660#t=toc Verlag URL des Erstveroeffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Svishchuk, A. V. Modeling and pricing of swaps for financial and energy markets with stochastic volatilities Swaps (Finance) / Mathematical models Finance / Mathematical models Stochastic processes Swap (DE-588)4199581-8 gnd Volatilität (DE-588)4268390-7 gnd Kreditmarkt (DE-588)4073788-3 gnd Energiemarkt (DE-588)4014712-5 gnd |
| subject_GND | (DE-588)4199581-8 (DE-588)4268390-7 (DE-588)4073788-3 (DE-588)4014712-5 |
| title | Modeling and pricing of swaps for financial and energy markets with stochastic volatilities |
| title_auth | Modeling and pricing of swaps for financial and energy markets with stochastic volatilities |
| title_exact_search | Modeling and pricing of swaps for financial and energy markets with stochastic volatilities |
| title_full | Modeling and pricing of swaps for financial and energy markets with stochastic volatilities Anatoliy Swishchuk |
| title_fullStr | Modeling and pricing of swaps for financial and energy markets with stochastic volatilities Anatoliy Swishchuk |
| title_full_unstemmed | Modeling and pricing of swaps for financial and energy markets with stochastic volatilities Anatoliy Swishchuk |
| title_short | Modeling and pricing of swaps for financial and energy markets with stochastic volatilities |
| title_sort | modeling and pricing of swaps for financial and energy markets with stochastic volatilities |
| topic | Swaps (Finance) / Mathematical models Finance / Mathematical models Stochastic processes Swap (DE-588)4199581-8 gnd Volatilität (DE-588)4268390-7 gnd Kreditmarkt (DE-588)4073788-3 gnd Energiemarkt (DE-588)4014712-5 gnd |
| topic_facet | Swaps (Finance) / Mathematical models Finance / Mathematical models Stochastic processes Swap Volatilität Kreditmarkt Energiemarkt |
| url | http://www.worldscientific.com/worldscibooks/10.1142/8660#t=toc |
| work_keys_str_mv | AT svishchukav modelingandpricingofswapsforfinancialandenergymarketswithstochasticvolatilities |