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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Edición: | 1st ed. 2016. |
| Colección: | SpringerBriefs in Mathematics,
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| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.