Forward and Futures in Energy Markets: Multi-Factor Lévy Models

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

Chapter 19 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 273-283 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Introductionα-Stable Lévy Processes and Their PropertiesLévy ProcessesLévy-Khintchine Formula and Lévy-Itô Decomposition for Lévy Processes L(t)α-Stable Distributions and Lévy ProcessesStochastic Differential Equations Driven by α-Stable Lévy ProcessesOne-Factor α-Stable Lévy ModelsMulti-Factor α-Stable Lévy ModelsChange of Time Method (CTM) for SDEs Driven by Lévy ProcessesSolutions of One-Factor Lévy Models using the CTMSolution of Multi-Factor Lévy Models using CTMApplications in Energy MarketsEnergy Forwards and FuturesGaussian- and Lévy-Based SABR/LIBOR Market ModelsSummaryBibliography

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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