Change of time method in mathematical finance

MaRDI QIDQ3618446zbMATH OpenFDO

Authors Anatoliy Swishchuk

Publication date 31 March 2009

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(13)

• A generalization of exotic options pricing formulae
• Time changes for Lévy processes
• Change of time methods in quantitative finance
• Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
• Expectations of functions of stochastic time with application to credit risk modeling
• Lévy-based interest rate derivatives: change of time method and PIDEs
• Time reversal invariance in finance
• Inhomogeneous time change equations for Markov chains and their applications
• On a time-changed geometric Brownian motion and its application in financial market
• Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
• GENERALIZED BROWNIAN MOTIONS WITH APPLICATION TO FINANCE
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
• The economics of time as it is embedded in the prices of options§

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