Modeling and Pricing of Variance Swaps for Stochastic Volatilities with Delay

Anatoliy Swishchuk
Additional contact information
Anatoliy Swishchuk: University of Calgary, Canada

Chapter 7 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 65-85 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionVariance SwapsModeling of Financial Markets with Stochastic Volatility with DelayVariance Swaps for Stochastic Volatility with DelayDelay as A Measure of RiskComparison of Stochastic Volatility in Heston Model and Stochastic Volatility with DelayNumerical Example 1: S&P60 Canada IndexNumerical Example 2: S&P500 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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814440134_0007 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814440134_0007 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814440134_0007

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().