Change of Time Methods in Quantitative Finance
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 volatilit…
Mehr
CHF 65.00
Preise inkl. MwSt. und Versandkosten (Portofrei ab CHF 40.00)
Versandkostenfrei
Produktdetails
- ISBN: 978-3-319-32408-1
- EAN: 9783319324081
- Produktnummer: 20019915
- Verlag: Springer
- Sprache: Englisch
- Erscheinungsjahr: 2016
- Plattform: PDF
- Masse: 2'012 KB
13 weitere Werke von Anatoliy Swishchuk:
Bewertungen
Anmelden