注册 投稿
经济金融网 中国经济学教育科研网 中国经济学年会 EFN通讯社

定量金融中时间方法的变化

文件大小:未知

级别评定:

添加时间:2016-06-24 10:40:56

最后更新:2016-07-06 09:30:15

下载积分:0分 (只有会员文件下载时才需要相应积分验证)

总浏览:

总下载:54

发布人:郭倩荷

  • 如果您发现该资源不能下载,请在本站论坛提出,管理员会及时处理。
  • 未经本站明确许可,任何网站不得非法盗链及抄袭本站资源。
  • 本站资源均为网友提供交流,仅供教学、研究使用,请下载后24小时内自行删除。
    0
资源简介

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.

资源评论

快速入口
回到顶部
深圳网站建设