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Change of time methods in quantitati...

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Change of time methods in quantitative finance[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	330.015195
書名/作者:	Change of time methods in quantitative finance/ by Anatoliy Swishchuk.
作者:	Swishchuk, Anatoliy.
出版者:	Cham : : Springer International Publishing :, 2016.
面頁冊數:	xv, 128 p. : : ill. (some col.), digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Business mathematics.
標題:	Mathematics.
標題:	Quantitative Finance.
ISBN:	9783319324081
ISBN:	9783319324067
摘要、提要註:	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.
電子資源:	http://dx.doi.org/10.1007/978-3-319-32408-1

Change of time methods in quantitative finance[electronic resource] /
Swishchuk, Anatoliy.

Change of time methods in quantitative finance[electronic resource] /by Anatoliy Swishchuk. - Cham :Springer International Publishing :2016. - xv, 128 p. :ill. (some col.), digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - SpringerBriefs in mathematics..

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.

ISBN: 9783319324081

Standard No.: 10.1007/978-3-319-32408-1doiSubjects--Topical Terms:

172382
Business mathematics.

LC Class. No.: HF5691

Dewey Class. No.: 330.015195

Change of time methods in quantitative finance[electronic resource] /
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