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Change of Time Methods in Quantitative Finance

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Swishchuk, Anatoliy. Change of Time Methods in Quantitative Finance by Anatoliy Swishchuk. -
XV, 128 p. 11 illus., 10 illus. in color. online resource. - (SpringerBriefs in Mathematics, ) Content notes : 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. 9783319324081 * Finance. Quantitative Finance. * Series

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