{"product_id":"9789814440141","title":"Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities","description":"\u003cp\u003e\u003ci\u003eModeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities\u003c\/i\u003e 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\u0026amp;P60 Canada Index, S\u0026amp;P500 Index and AECO Natural Gas Index.\u003c\/p\u003e\u003cb\u003eContents:\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eStochastic Volatility\u003c\/li\u003e\n\u003cli\u003eStochastic Volatility Models\u003c\/li\u003e\n\u003cli\u003eSwaps\u003c\/li\u003e\n\u003cli\u003eChange of Time Methods\u003c\/li\u003e\n\u003cli\u003eBlack-Scholes Formula by Change of Time Method\u003c\/li\u003e\n\u003cli\u003eModeling and Pricing of Swaps for Heston Model\u003c\/li\u003e\n\u003cli\u003eModeling and Pricing of Variance Swaps for Stochastic Volatilities with Delay\u003c\/li\u003e\n\u003cli\u003eModeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay\u003c\/li\u003e\n\u003cli\u003ePricing Variance Swaps for Stochastic Volatilities with Delay and Jumps\u003c\/li\u003e\n\u003cli\u003eVariance Swap for Local Lévy-Based Stochastic Volatility with Delay\u003c\/li\u003e\n\u003cli\u003eDelayed Heston Model: Improvement of the Volatility Surface Fitting\u003c\/li\u003e\n\u003cli\u003ePricing and Hedging of Volatility Swap in the Delayed Heston Model\u003c\/li\u003e\n\u003cli\u003ePricing of Variance and Volatility Swaps with Semi-Markov Volatilities\u003c\/li\u003e\n\u003cli\u003eCovariance and Correlation Swaps for Markov-Modulated Volatilities\u003c\/li\u003e\n\u003cli\u003eVolatility and Variance Swaps for the COGARCH(1,1) Model\u003c\/li\u003e\n\u003cli\u003eVariance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion\u003c\/li\u003e\n\u003cli\u003eVariance and Volatility Swaps in Energy Markets\u003c\/li\u003e\n\u003cli\u003eExplicit Option Pricing Formula for a Mean-Reverting Asset in Energy Markets\u003c\/li\u003e\n\u003cli\u003eForward and Futures in Energy Markets: Multi-Factor Lévy Models\u003c\/li\u003e\n\u003cli\u003eGeneralization of Black-76 Formula: Markov-Modulated Volatility\u003c\/li\u003e\n\u003c\/ul\u003e\u003cbr\u003e\u003cb\u003eReadership:\u003c\/b\u003e Post-graduate level researchers and professionals with interest in the modeling and pricing of swaps for energy and financial markets.\u003cbr\u003e","brand":"World Scientific Publishing Company, Incorporated","offers":[{"title":"Default Title","offer_id":47185286856944,"sku":"9789814440141","price":50.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/9789814440141_p0.jpg?v=1763691024","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/9789814440141","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}