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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Hackensack, New Jersey] :
World Scientific,
[2013]
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Stochastic Volatility Models (SVM); Swaps; Change of Time Method; Black-Scholes Formula by Change of Time Method; Explicit Option Pricing Formula for a Mean-reverting Model in Energy Markets; Modeling and Pricing Swaps for Heston Model; Modeling and Pricing of Variance Swaps for SVM with Delay; Modeling and Pricing of Variance Swaps for Multi-Factor SVM with Delay; Modeling and Pricing of Variance Swaps for SVM with Delay and Jumps; Modeling and Pricing of Variance Swaps for Regime-Switching SVM; Modeling and Pricing of Swaps for COGARCH(1,1) SVM; Modeling and Pricing of Swaps for SV Driven by Fractional Brownian Motion; Modeling and Pricing of Swaps for SV Driven by Levy Processes; Delayed Heston Model; Covariance and Correlation Swaps for Markov and Semi-Markov Stochastic Volatilities; Variance and Volatility Swaps in Energy Markets; Forward and Futures in Energy Markets.