Click Here to Download: https://ouo.io/2sOIstz Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities By: Anatoliy Swishchuk Publisher: WSPC Print ISBN: 9789814440127, 9814440124 eText ISBN: 9789814440141, 9814440140 Pages: 328 Format: EPUB Available from $ 50.00 USD SKU 9789814440141 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, Levy-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 Levy 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. Contents: Stochastic Volatility Stochastic Volatility Models Swaps Change of Time Methods Black-Scholes Formula by Change of Time Method Modeling and Pricing of Swaps for Heston Model Modeling and Pricing of Variance Swaps for Stochastic Volatilities with Delay Modeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps Variance Swap for Local Lévy-Based Stochastic Volatility with Delay Delayed Heston Model: Improvement of the Volatility Surface Fitting Post-graduate level researchers and professionals with interest in the modeling and pricing of swaps for energy and financial markets.
