Change of Time Methods in Quantitative Finance

DOI10.1007/978-3-319-32408-1zbMath1391.91004OpenAlexW4234413966MaRDI QIDQ2798761

Anatoliy Swishchuk

Publication date: 13 April 2016

Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-32408-1

zbMATH Keywords

Brownian motionsubordinatorLévy processderivatives pricingenergy marketschange of timedelayed Heston modelmean reverting asset modelvolatility swap

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ CBI-time-changed Lévy processes ⋮ Modeling the number of hidden events subject to observation delay ⋮ Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model ⋮ On stochastic control for time changed Lévy dynamics

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