Volatility derivatives are a class of derivative securities where the payoff explicitly depends
on some measure of the volatility of an underlying asset. Prominent examples of these …

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities
is devoted to the modeling and pricing of various kinds of swaps, such as those for variance …

The following sections are included: IntroductionVariance SwapsModeling of Financial
Markets with Stochastic Volatility with DelayVariance Swaps for Stochastic Volatility with …

▪ Historical V: standard deviation (uses historical (daily, weekly, monthly, quarterly, yearly))
price data to empirically measure the volatility of a market or instrument in the past▪ Implied …

This book is the second of two volumes on random motions in Markov and semi-Markov
random environments. This second volume focuses on high-dimensional random motions …

In this paper, we consider applications of the change-of-time method to study the following
three models in finance: the geometrical Brownian motion model for stock price, the mean …

In this chapter, the CTM is applied to price financial and energy derivatives for one-factor
and multifactor α-stable Lévy-based models. These models include, in particular, as one …

In this paper, we study financial markets with stochastic volatilities driven by fractional
Brownian motion with Hurst index H> 1/2. Our models for stochastic volatility include new …

In this paper, we discuss and value variance, volatility, covariance, and correlation swaps in
the Vasicek, Schwartz one-factor, and Heston models using a continuous-time regime. The …

In this paper, we study financial markets with stochastic volatilities driven by fractional
Brownian motion with Hurst index H> 1/2. Our models include fractional versions of Ornstein …