Modeling and pricing of swaps for financial and energy markets with stochastic volatilities (Q2857276)

A volatility swap or variance swap is a forward contract on the future realized volatility of a given underlying asset. It allows investors to speculate on or hedge risks associated with the magnitude of movement of some underlying product, like an exchange rate, interest rate, or stock index. This book gives a comprehensive discussion of almost all pricing models for the various kinds of swaps.NEWLINENEWLINE It covers the Heston stochastic volatility model; stochastic volatilities with delay; multi-factor stochastic volatilities with delay and jumps; Lévy-based stochastic volatility with delay; delayed stochastic volatility in Heston model; semi-Markov modulated stochastic volatilities; COGARCH(1,1) stochastic volatility; stochastic volatilities driven by fractional Brownian motion; continuous-time GARCH stochastic volatility model. For each type of model, the author gives a detailed explanation and derives its pricing formulas. The book also involves the change of time method and its application in the pricing of a variety of swaps in financial and energy markets. Besides, a separate session about the derivative pricing on the energy market is included. Moreover, this book provides many numerical examples to illustrate applications of the stochastic volatility pricing models. NEWLINENEWLINENEWLINEThis book is quite useful not only for academics and researchers in mathematical and energy finance, but also for practitioners in the financial and energy industries.