Change of Time Methods in Quantitative Finance (Record no. 426597)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03302nam a22004575i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOKNUMBER | |
| International Standard Book Number | 9783319324081 |
| -- | 978-3-319-32408-1 |
| 024 7# - | |
| -- | 10.1007/978-3-319-32408-1 |
| -- | doi |
| 040 ## - | |
| -- | ISI Library, Kolkata |
| 050 #4 - | |
| -- | HB135-147 |
| 072 #7 - | |
| -- | KF |
| -- | bicssc |
| 072 #7 - | |
| -- | MAT003000 |
| -- | bisacsh |
| 072 #7 - | |
| -- | KF |
| -- | thema |
| 082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Swishchuk, Anatoliy. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 245 10 - TITLE STATEMENT | |
| Title | Change of Time Methods in Quantitative Finance |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Anatoliy Swishchuk. |
| 942 ## - ADDED ENTRY ELEMENTS(KOHA) | |
| Koha item type | E-BOOKS |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| -- | author. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS | |
| Place of production, publication, distribution, manufacture | Cham : |
| Name of producer, publisher, distributor, manufacturer | Springer International Publishing : |
| -- | Imprint: Springer, |
| Date of production, publication, distribution, manufacture | 2016. |
| 300 ## - | |
| -- | XV, 128 p. 11 illus., 10 illus. in color. |
| -- | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - | |
| -- | SpringerBriefs in Mathematics, |
| -- | 2191-8198 |
| 505 0# - | |
| -- | 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. |
| 520 ## - | |
| -- | This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models. Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale. |
| 650 #0 - | |
| -- | Finance. |
| 650 14 - | |
| -- | Quantitative Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13062 |
| 710 2# - | |
| -- | SpringerLink (Online service) |
| 773 0# - | |
| -- | Springer eBooks |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783319324067 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783319324074 |
| 830 #0 - | |
| -- | SpringerBriefs in Mathematics, |
| -- | 2191-8198 |
| 856 40 - | |
| -- | https://doi.org/10.1007/978-3-319-32408-1 |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 950 ## - | |
| -- | Mathematics and Statistics (Springer-11649) |
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