Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities
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Citations
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Cited by:
- Semere Habtemicael & Indranil SenGupta, 2016. "Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-35, December.
- Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega, 2019. "Closed-form variance swap prices under general affine GARCH models and their continuous-time limits," Annals of Operations Research, Springer, vol. 282(1), pages 27-57, November.
- Aziz Issaka & Indranil SenGupta, 2017. "Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index," Annals of Finance, Springer, vol. 13(4), pages 401-434, November.
- Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015. "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 1-21.
- Semere Habtemicael & Indranil Sengupta, 2016. "Pricing Covariance Swaps For Barndorff–Nielsen And Shephard Process Driven Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-32, September.
- Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Papers 2105.02325, arXiv.org.
- Guglielmo D'Amico & Filippo Petroni, 2020. "A micro-to-macro approach to returns, volumes and waiting times," Papers 2007.06262, arXiv.org.
- Rodwell Kufakunesu & Calisto Guambe & Lesedi Mabitsela, 2018. "Risk-based optimal portfolio of an insurer with regime switching and noisy memory," Papers 1808.04604, arXiv.org, revised Mar 2019.
- Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Annals of Finance, Springer, vol. 17(4), pages 529-558, December.
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Book Chapters
The following chapters of this book are listed in IDEAS- Anatoliy Swishchuk, 2013. "Stochastic Volatility," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 1, pages 1-10, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Stochastic Volatility Models," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 2, pages 11-20, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Swaps," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 3, pages 21-27, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Change of Time Methods," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 4, pages 29-38, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Black-Scholes Formula by Change of Time Method," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 5, pages 39-43, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Heston Model," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 6, pages 45-63, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Modeling and Pricing of Variance Swaps for Stochastic Volatilities with Delay," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 7, pages 65-85, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Modeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 8, pages 87-112, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 9, pages 113-135, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Variance Swap for Local Lévy-Based Stochastic Volatility with Delay," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 10, pages 137-149, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Delayed Heston Model: Improvement of the Volatility Surface Fitting," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 11, pages 151-160, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Pricing and Hedging of Volatility Swap in the Delayed Heston Model," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 12, pages 161-172, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 13, pages 173-187, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Covariance and Correlation Swaps for Markov-Modulated Volatilities," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 14, pages 189-210, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Volatility and Variance Swaps for the COGARCH(1,1) Model," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 15, pages 211-224, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Variance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 16, pages 225-240, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Variance and Volatility Swaps in Energy Markets," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 17, pages 241-253, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Explicit Option Pricing Formula for a Mean-Reverting Asset in Energy Markets," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 18, pages 255-271, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Forward and Futures in Energy Markets: Multi-Factor Lévy Models," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 19, pages 273-283, World Scientific Publishing Co. Pte. Ltd..
- Anatoliy Swishchuk, 2013. "Generalization of Black-76 Formula: Markov-Modulated Volatility," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 20, pages 285-300, World Scientific Publishing Co. Pte. Ltd..
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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;
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