Buch, Englisch, 128 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 2292 g
Buch, Englisch, 128 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 2292 g
Reihe: SpringerBriefs in Mathematics
ISBN: 978-3-319-32406-7
Verlag: Springer International Publishing
Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
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.