IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this book

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities

Listed author(s):
  • Anatoliy Swishchuk

    (University of Calgary, Canada)

Registered author(s):

    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 Volatility Stochastic Volatility Models Swaps Change of Time Methods Black-Scholes Formula by Change of Time Method Modeling and Pricing of Swaps for Heston Model Modeling and Pricing of Variance Swaps for Stochastic Volatilities with Delay Modeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps Variance Swap for Local L¨¦vy-Based Stochastic Volatility with Delay Delayed Heston Model: Improvement of the Volatility Surface Fitting Pricing and Hedging of Volatility Swap in the Delayed Heston Model Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities Covariance and Correlation Swaps for Markov-Modulated Volatilities Volatility and Variance Swaps for the COGARCH(1,1) Model Variance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion Variance and Volatility Swaps in Energy Markets Explicit Option Pricing Formula for a Mean-Reverting Asset in Energy Markets Forward and Futures in Energy Markets: Multi-Factor L¨¦vy Models Generalization 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. Key Features: Provides coverage on topic of swaps not covered in such detail by other titles, in relation to energy and financial markets In particular, offers a comprehensive treatment of various types of swaps and a variety of stochastic volatility models, in relation to energy and financial markets

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.worldscientific.com/worldscibooks/10.1142/8660
    Download Restriction: Ebook Access is available upon purchase.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    as
    in new window

    This book is provided by World Scientific Publishing Co. Pte. Ltd. in its series World Scientific Books with number 8660 and published in 2013.
    ISBN: 9789814440127
    Handle: RePEc:wsi:wsbook:8660
    Contact details of provider: Web page: http://ebooks.worldscinet.com/

    Order Information: Email:


    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:wsi:wsbook:8660. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.