Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities
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9789814440127, 9789814440134

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Variance Swap for Local Lévy-Based Stochastic Volatility with Delay

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

10.1142/9789814440134_0010 ◽

2013 ◽

pp. 137-149

Keyword(s):

Stochastic Volatility ◽

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Black-Scholes Formula by Change of Time Method

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

10.1142/9789814440134_0005 ◽

2013 ◽

pp. 39-43

Keyword(s):

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Change of Time Methods

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

10.1142/9789814440134_0004 ◽

2013 ◽

pp. 29-38

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Variance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion

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

10.1142/9789814440134_0016 ◽

2013 ◽

pp. 225-240

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion

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Variance and Volatility Swaps in Energy Markets

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

10.1142/9789814440134_0017 ◽

2013 ◽

pp. 241-253

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Volatility and Variance Swaps for the COGARCH(1,1) Model

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

10.1142/9789814440134_0015 ◽

2013 ◽

pp. 211-224

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Covariance and Correlation Swaps for Markov-Modulated Volatilities

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

10.1142/9789814440134_0014 ◽

2013 ◽

pp. 189-210

Keyword(s):

Markov Modulated

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Delayed Heston Model: Improvement of the Volatility Surface Fitting

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

10.1142/9789814440134_0011 ◽

2013 ◽

pp. 151-160

Keyword(s):

Surface Fitting ◽

Heston Model ◽

Model Improvement ◽

Volatility Surface

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Modeling and Pricing of Swaps for Heston Model

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

10.1142/9789814440134_0006 ◽

2013 ◽

pp. 45-63

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Swaps

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

10.1142/9789814440134_0003 ◽

2013 ◽

pp. 21-27 ◽

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