Modeling and Pricing of Swaps for Heston Model

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

Chapter 6 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 45-63 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionVariance and Volatility SwapsVariance and Volatility Swaps for Heston ModelCovariance and Correlation Swaps for Two Assets with Stochastic VolatilitiesDefinitions of Covariance and Correlation SwapsValuing of Covariance and Correlation SwapsVariance Swaps for Lévy-Based Heston ModelNumerical Example: S&P60 Canada IndexSummaryBibliography

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
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