Change Of Time And Change Of Measure PDF Download

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 VolatilityStochastic Volatility ModelsSwapsChange of Time MethodsBlack-Scholes Formula by Change of Time MethodModeling and Pricing of Swaps for Heston ModelModeling and Pricing of Variance Swaps for Stochastic Volatilities with DelayModeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with DelayPricing Variance Swaps for Stochastic Volatilities with Delay and JumpsVariance Swap for Local Lévy-Based Stochastic Volatility with DelayDelayed Heston Model: Improvement of the Volatility Surface FittingPricing and Hedging of Volatility Swap in the Delayed Heston ModelPricing of Variance and Volatility Swaps with Semi-Markov VolatilitiesCovariance and Correlation Swaps for Markov-Modulated VolatilitiesVolatility and Variance Swaps for the COGARCH(1,1) ModelVariance and Volatility Swaps for Volatilities Driven by Fractional Brownian MotionVariance and Volatility Swaps in Energy MarketsExplicit Option Pricing Formula for a Mean-Reverting Asset in Energy MarketsForward and Futures in Energy Markets: Multi-Factor Lévy ModelsGeneralization of Black-76 Formula: Markov-Modulated Volatility Readership: Post-graduate level researchers and professionals with interest in the modeling and pricing of swaps for energy and financial markets. Keywords:Stochastic Volatilities;Variance, Volatility, Covariance, Correlation Swaps;Change of Time;Option Pricing;Stochastic Volatilities with Delay;Multi-Factor Stochastic Volatilities Models;Regime-Switching Stochastic Volatilities;Levy-Based Stochastic Volatilities with Delay;COGARCH Stochastic Volatility;Stochastic Volatility Driven by Fractional Brownian Motion;Delayed Heston Model;Semi-Markov Stochastic Volatilities;Energy Markets;Forward and Futures in Energy MarketsKey Features:Provides coverage on topic of swaps not covered in such detail by other titles, in relation to energy and financial marketsIn particular, offers a comprehensive treatment of various types of swaps and a variety of stochastic volatility models, in relation to energy and financial marketsReviews: “A separate session about the derivative pricing on the energy market is included. Moreover, this book provides many numerical examples to illustrate applications of the stochastic volatility pricing models. This book is quite useful not only for academics and researchers in mathematical and energy finance, but also for practitioners in the financial and energy industries.” Zentralblatt MATH