Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities

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Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities

Anatoliy Swishchuk
Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities Book PDF

Author : Anatoliy Swishchuk
Publisher : World Scientific
Page : 328 pages
File Size : 54,5 Mb
Release : 2013-06-03
Category : Business & Economics
ISBN : 9789814440141

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Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities by Anatoliy Swishchuk Pdf

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index. Contents:Stochastic VolatilityStochastic Volatility ModelsSwapsChange of Time MethodsBlack-Scholes Formula by Change of Time MethodModeling and Pricing of Swaps for Heston ModelModeling and Pricing of Variance Swaps for Stochastic Volatilities with DelayModeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with DelayPricing Variance Swaps for Stochastic Volatilities with Delay and JumpsVariance Swap for Local Lévy-Based Stochastic Volatility with DelayDelayed Heston Model: Improvement of the Volatility Surface FittingPricing and Hedging of Volatility Swap in the Delayed Heston ModelPricing of Variance and Volatility Swaps with Semi-Markov VolatilitiesCovariance and Correlation Swaps for Markov-Modulated VolatilitiesVolatility and Variance Swaps for the COGARCH(1,1) ModelVariance and Volatility Swaps for Volatilities Driven by Fractional Brownian MotionVariance and Volatility Swaps in Energy MarketsExplicit Option Pricing Formula for a Mean-Reverting Asset in Energy MarketsForward and Futures in Energy Markets: Multi-Factor Lévy ModelsGeneralization of Black-76 Formula: Markov-Modulated Volatility Readership: Post-graduate level researchers and professionals with interest in the modeling and pricing of swaps for energy and financial markets. 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 MarketsKey Features:Provides coverage on topic of swaps not covered in such detail by other titles, in relation to energy and financial marketsIn particular, offers a comprehensive treatment of various types of swaps and a variety of stochastic volatility models, in relation to energy and financial marketsReviews: “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. This 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.” Zentralblatt MATH

Change of Time Methods in Quantitative Finance

Anatoliy Swishchuk
Change of Time Methods in Quantitative Finance Book PDF

Author : Anatoliy Swishchuk
Publisher : Springer
Page : 128 pages
File Size : 49,6 Mb
Release : 2016-05-31
Category : Mathematics
ISBN : 9783319324081

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Change of Time Methods in Quantitative Finance by Anatoliy Swishchuk Pdf

This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models. Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale.

Stochastic Modelling of Electricity and Related Markets

Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker
Stochastic Modelling of Electricity and Related Markets Book PDF

Author : Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker
Publisher : World Scientific
Page : 352 pages
File Size : 42,9 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812812308

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Stochastic Modelling of Electricity and Related Markets by Fred Espen Benth,Jurate Saltyte Benth,Steen Koekebakker Pdf

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Encyclopedia of Financial Models

Frank J. Fabozzi
Encyclopedia of Financial Models Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 3180 pages
File Size : 52,6 Mb
Release : 2012-10-15
Category : Business & Economics
ISBN : 9781118539958

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Encyclopedia of Financial Models by Frank J. Fabozzi Pdf

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.

Encyclopedia of Financial Models

Frank J. Fabozzi
Encyclopedia of Financial Models Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 640 pages
File Size : 42,6 Mb
Release : 2012-09-12
Category : Business & Economics
ISBN : 9781118539767

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Encyclopedia of Financial Models by Frank J. Fabozzi Pdf

Volume 1 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals ranging from finance professionals to academics and students understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of thirty-nine informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Pricing Models of Volatility Products and Exotic Variance Derivatives

Yue Kuen Kwok,Wendong Zheng
Pricing Models of Volatility Products and Exotic Variance Derivatives Book PDF

Author : Yue Kuen Kwok,Wendong Zheng
Publisher : CRC Press
Page : 402 pages
File Size : 42,7 Mb
Release : 2022-05-08
Category : Mathematics
ISBN : 9781000584271

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Pricing Models of Volatility Products and Exotic Variance Derivatives by Yue Kuen Kwok,Wendong Zheng Pdf

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments

Carol Alexander
Market Risk Analysis Pricing Hedging and Trading Financial Instruments Book PDF

Author : Carol Alexander
Publisher : John Wiley & Sons
Page : 427 pages
File Size : 44,7 Mb
Release : 2008-06-09
Category : Business & Economics
ISBN : 9780470997895

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Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments by Carol Alexander Pdf

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.

Handbook Of Energy Finance: Theories, Practices And Simulations

Stephane Goutte,Duc Khuong Nguyen
Handbook Of Energy Finance Theories Practices And Simulations Book PDF

Author : Stephane Goutte,Duc Khuong Nguyen
Publisher : World Scientific
Page : 827 pages
File Size : 52,6 Mb
Release : 2020-01-30
Category : Business & Economics
ISBN : 9789813278394

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Handbook Of Energy Finance: Theories, Practices And Simulations by Stephane Goutte,Duc Khuong Nguyen Pdf

Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.

Derivatives in Financial Markets with Stochastic Volatility

Jean-Pierre Fouque,George Papanicolaou,K. Ronnie Sircar
Derivatives in Financial Markets with Stochastic Volatility Book PDF

Author : Jean-Pierre Fouque,George Papanicolaou,K. Ronnie Sircar
Publisher : Cambridge University Press
Page : 222 pages
File Size : 47,7 Mb
Release : 2000-07-03
Category : Business & Economics
ISBN : 0521791634

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Derivatives in Financial Markets with Stochastic Volatility by Jean-Pierre Fouque,George Papanicolaou,K. Ronnie Sircar Pdf

This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.

Modeling and Pricing in Financial Markets for Weather Derivatives

Fred Espen Benth,Jurate Saltyte Benth
Modeling and Pricing in Financial Markets for Weather Derivatives Book PDF

Author : Fred Espen Benth,Jurate Saltyte Benth
Publisher : World Scientific
Page : 255 pages
File Size : 52,6 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814401845

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Modeling and Pricing in Financial Markets for Weather Derivatives by Fred Espen Benth,Jurate Saltyte Benth Pdf

Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables are based on a large data set from Lithuania. The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts.

Option Pricing in Incomplete Markets

Yoshio Miyahara
Option Pricing in Incomplete Markets Book PDF

Author : Yoshio Miyahara
Publisher : World Scientific
Page : 200 pages
File Size : 40,8 Mb
Release : 2012
Category : Electronic books
ISBN : 9781848163485

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Option Pricing in Incomplete Markets by Yoshio Miyahara Pdf

This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem

Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments

Carol Alexander
Market Risk Analysis Pricing Hedging and Trading Financial Instruments Book PDF

Author : Carol Alexander
Publisher : Wiley
Page : 0 pages
File Size : 42,6 Mb
Release : 2008-06-09
Category : Business & Economics
ISBN : 0470997893

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Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments by Carol Alexander Pdf

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.

Stochastic Volatility in Financial Markets

Fabio Fornari,Antonio Mele
Stochastic Volatility in Financial Markets Book PDF

Author : Fabio Fornari,Antonio Mele
Publisher : Springer Science & Business Media
Page : 168 pages
File Size : 48,9 Mb
Release : 2000-05-31
Category : Business & Economics
ISBN : 0792378423

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Stochastic Volatility in Financial Markets by Fabio Fornari,Antonio Mele Pdf

Presenting advanced topics in financial econometrics and theoretical finance, this guide is divided into three main parts.

Volatility

Robert A. Jarrow
Volatility Book PDF

Author : Robert A. Jarrow
Publisher : Unknown
Page : 472 pages
File Size : 43,5 Mb
Release : 1998
Category : Derivative securities
ISBN : UOM:39015057358072

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Volatility by Robert A. Jarrow Pdf

Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Derivatives Pricing and Modeling

Jonathan Batten,Niklas F. Wagner
Derivatives Pricing and Modeling Book PDF

Author : Jonathan Batten,Niklas F. Wagner
Publisher : Emerald Group Publishing
Page : 450 pages
File Size : 40,5 Mb
Release : 2012-07-02
Category : Business & Economics
ISBN : 9781780526171

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Derivatives Pricing and Modeling by Jonathan Batten,Niklas F. Wagner Pdf

Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.