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

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

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

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 Markets (search for similar items in EconPapers)
Date: 2013
ISBN: 9789814440127
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Chapters in this book:

Ch 1 Stochastic Volatility , pp 1-10

Anatoliy Swishchuk

Ch 2 Stochastic Volatility Models , pp 11-20

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Ch 3 Swaps , pp 21-27

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Ch 4 Change of Time Methods , pp 29-38

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Ch 5 Black-Scholes Formula by Change of Time Method , pp 39-43

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Ch 6 Modeling and Pricing of Swaps for Heston Model , pp 45-63

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Ch 7 Modeling and Pricing of Variance Swaps for Stochastic Volatilities with Delay , pp 65-85

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Ch 8 Modeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay , pp 87-112

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Ch 9 Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps , pp 113-135

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Ch 10 Variance Swap for Local Lévy-Based Stochastic Volatility with Delay , pp 137-149

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Ch 11 Delayed Heston Model: Improvement of the Volatility Surface Fitting , pp 151-160

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Ch 12 Pricing and Hedging of Volatility Swap in the Delayed Heston Model , pp 161-172

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Ch 13 Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities , pp 173-187

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Ch 14 Covariance and Correlation Swaps for Markov-Modulated Volatilities , pp 189-210

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Ch 15 Volatility and Variance Swaps for the COGARCH(1,1) Model , pp 211-224

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Ch 16 Variance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion , pp 225-240

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Ch 17 Variance and Volatility Swaps in Energy Markets , pp 241-253

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Ch 18 Explicit Option Pricing Formula for a Mean-Reverting Asset in Energy Markets , pp 255-271

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Ch 19 Forward and Futures in Energy Markets: Multi-Factor Lévy Models , pp 273-283

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Ch 20 Generalization of Black-76 Formula: Markov-Modulated Volatility , pp 285-300

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