Change of time methods in quantitative finance
Brownian motionchange of timedelayed Heston modelderivatives pricingenergy marketsLévy processmean reverting asset modelsubordinatorvolatility swap
Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)
- Change of time method in mathematical finance
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Change of time and change of measure
- Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
- Lévy-based interest rate derivatives: change of time method and PIDEs
- Modeling the number of hidden events subject to observation delay
- On stochastic control for time changed Lévy dynamics
- Modeling and pricing of swaps for financial and energy markets with stochastic volatilities
- Change of time and change of measure
- Change of time method in mathematical finance
- Time reversal invariance in finance
- Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model
- Affine term structure models: A time‐change approach with perfect fit to market curves
- CBI-time-changed Lévy processes
- Big-data for high-frequency volatility analysis with time-deformed observations
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