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Change of Time Methods in Quantitative Finance

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Cover of 'Change of Time Methods in Quantitative Finance'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction to the Change of Time Methods: History, Finance and Stochastic Volatility
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    Chapter 2 Change of Time Methods: Definitions and Theory
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    Chapter 3 Applications of the Change of Time Methods
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    Chapter 4 Change of Time Method (CTM) and Black-Scholes Formula
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    Chapter 5 CTM and Variance, Volatility, and Covariance and Correlation Swaps for the Classical Heston Model
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    Chapter 6 CTM and the Delayed Heston Model: Pricing and Hedging of Variance and Volatility Swaps
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    Chapter 7 CTM and the Explicit Option Pricing Formula for a Mean-Reverting Asset in Energy Markets
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    Chapter 8 CTM and Multifactor Lévy Models for Pricing Financial and Energy Derivatives
Attention for Chapter 8: CTM and Multifactor Lévy Models for Pricing Financial and Energy Derivatives
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Chapter title
CTM and Multifactor Lévy Models for Pricing Financial and Energy Derivatives
Chapter number 8
Book title
Change of Time Methods in Quantitative Finance
Published by
Springer, Cham, January 2016
DOI 10.1007/978-3-319-32408-1_8
Book ISBNs
978-3-31-932406-7, 978-3-31-932408-1
Authors

Anatoliy Swishchuk

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