Modeling and pricing of swaps for financial and energy markets with stochastic volatilities / Anatoliy Swishchuk.

Includes bibliographical references and index.

1. Stochastic Volatility;
2. Stochastic Volatility Models;
3. Swaps;
4. Change of Time Method;
5. Black-Scholes Formula by Change of Time Method;
6. Modeling and Pricing Swaps for Heston Model;
7. Modeling and Pricing of Variance Swaps for stochastic volatilities with Delay;
8. Modeling and Pricing of Variance Swaps for Multi-Factor SVM with Delay;
9.Pricing Variance Swaps for SVM with Delay and Jumps;
10. Variance Swaps for local levy-based SVM with delay;
11. Delayed Heston Model: improvement of the volatility surface fitting;
12. Pricing and hedging of volatility swap in the delayed heston model;
13. Pricing of variance and volatility swaps with semi-markov volatilities;
14. Covariance and Correlation Swaps for Markov and Semi-Markov Stochastic Volatilities;
15. Volatility and variance swaps for the COGARCH(1,1) model;
16. Variance and volatility swaps for volatilities driven by Fractional Brownian motion;
17. Variance and Volatility Swaps in Energy Markets;
18. Explicit option ricing formula for a mean-reverting asset in energy markets;
19. Forward and Futures in Energy Markets: multi-factor levy models;
20. Generalization of black-76 formula: markov-modulated volatility;
Bibliography;
Index.

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 CORAGCH(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 also contains content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Many numerical examples such as S & P60 Canada Index, S & P500 Index and AECO Natural Gas Index are presented.