Welcome
to
home page of Anatoliy Swishchuk!
MS552 (Mathematical Science
Building)
Mathematical
and
Computational Finance Laboratory,
Department
of Mathematics
& Statistics,
University of Calgary, 2500 University Drive NW,
Calgary, Alberta, Canada T2N 1N4
Tel.:
(403)220-3274;
E-mail: aswish@math.ucalgary.ca
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Resume
Research
Publications
Working
Papers
Sample
Recent Books
Sample
Research Papers
New
Books 2013
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Presentations
Quantitative
Methods in Finance, Cairns, Australia (26-30
June, 2012): 'Change
of
Time Methods in Mathematical and Energy
Finance'
Bachelier
Finance Society 7th World Congress, Sydney,
Australia (19-22 June, 2012): 'Variance
Swaps
for Levy-based Stochastic Volatility with
Delay'
ICIAM 2011,
Vancouver, Canada (July 18-22, 2011):
'Varinace and volatility swaps in energy
markets'
HVB
Institute
for Mathematical Finance seminar, TUM,
Munich, Germany (June 22, 2011): 'Varinace and
volatility swaps in energy markets'
15th
International IME 2011 Congress, Trieste,
Italy (June 14-18, 2011): 'Optimal
stopping
of GMRP and pricing of European and American
options'
14th
International ASMDA 2011 Conference, Rome,
Italy (June 7-11,2011): 'Variance
and
volatility swaps in energy markets'
PRMIA
Calgary
Chapter Luncheon Talk, Calgary, Bankers Hall
(May 17, 2011): Book
Review
'The Volatility Surface. A Practitioner's
Guide' by Jim Gatheral (Wiley/Finance, 2006)
North/South
Dialogue Meeting in Mathematics, Mount Royal
University, Calgary, AB, Canada, May 5-6,
2011: 'Levy
Processes:
History, Ideas, Applications'
Alberta Statisticians Meeting,
Edmonton, AB, Canada, October 16, 2010: 'Variance
Swaps
for Local Levy based Stochastic Volatility
with Delay'
International
Conference:
Modern Stochastics: Theory and Applications,
Sept 7-11, 2010, Kiev, Ukraine:
1) 'Approximation
of
Evolution Systems by GMRP' ('Stochastic
Models of Evolution Systems' section)
2) 'Stochastic
Volatility
and Change of Time: An Overview'
('Mathematics of Finance' section)
6th World
Congress of the Bachelier Finance Society,
June 22-26, 2010, Torornto, ON, Canada: 'Modeling
and
Pricing of Variance Swaps for Local
Stochastic Volatility with Delay and Jumps'
University
of Prince Edward Island, Charlottetown,
PEI, Canada, June 28,2010:'Applications
of
Random Evolutions: Financial Markets and
Geometric Markov Renewal Processes'
SSC
2010 Annual Meeting, Quebec, QC, May
23-26, 2010: 'Stochastic
Modeling
and Pricing of Energy Markets' Contracts
with Local Stochastic Delayed and Jumped
Volatilities'
HVB
Institute for Mathematical Finance Seminar,
Technical University of Munich, Munich, Germany,
May 12, 2010: 'Levy-based
Interest
Rate Derivatives: Change of Time Method and PIDEs'
PRMIA
Calgary
Chapter Luncheon Talk, Calgary, Bankers Hall,
May 4, 2010: 'Stochastic
Modelling
of Electricity and Related Markets' (Book
Review: Benth et
al. (2008))
QMF 2009
Conference, Sydney, Australia,
December 16-19, 2009: 'Modeling
and Pricing of Variance Swaps for Local Stochastic
Volatility with Delay and Jumps'
Alberta
Statisticians' Meeting, Calgary, October
24, 2009: 'Multi-Factor
Levy-Based
Models in Financial and Energy markets'
III
Internationa Symposium on Semi-Markov Models:
Theory and Applications, Cagliari, Italy,
June 17-19, 2009: 'Pricing
of
Variance and Volatility Swaps with Semi-Markov
Volatilities'
Invited Lecture, U of Roma 'La
Sapienza', Rome, Italy, June 15, 2009,
16:30-17:30pm: 'Modeling
and
Pricing of Variance Swaps for Stochastic
Volatilites with Delay and Jumps'
Invited Lecture, U of Roma 'La
Sapienza', Rome, Italy, June 15, 2009,
15:00-16:00pm: 'Levy-based
Interest
Rate Derivatives'
CAIMS
2009
Meeting, Mathematical
Finance
Session, UWO, London, ON (June 10-14,
2009): 'Levy-based
Interest
Rate Derivatives'
North/South
Dialogue
Meeting, Financial Mathematics Session, Red Deer College (May
1-2, 2009): 'Change
of
Time Method for Multi-Factor Lévy Models in
Finance'
Colloquium,
Department of
Mathematics & Statistics, Uof Calgary,
Calgary (April 2, 2009): 'What
is
Financial Mathematics? History, Basic Ideas,
Methods and Some Prospectives'
PRMIA
Calgary
Chapter Luncheon Talk, Calgary, Bankers Hall
(February10, 2009): 'Levy
Processes:
History, Ideas, Applications in Finance'
Quantitative
Methods
in Finance 2008 Conference, Sydney,
Australia (December 17-20): 'Multi-Factor
Levy
Models: Change of Time and Pricing of Financial
and Energy Derivatives'
2008
Stochastic
Modeling Symposium, Montreal, QB, Canada
(December 1-2, 2008): 'Levy-Based
Interest
Rate Derivatives: Change of Time and PIDEs'
2nd
Canada-France
Congress, Financial
Mathematics
Session, Montreal, Quebec, Canada (June 1-5,
2008): 'Pricing
of
Variance Swaps for Stochastic Volatilites with
Delay and Jumps'
North/South
Dialogue
Meeting, Financial
Mathematics
Session, University of Calgary (May 2nd,
2008):'Stochastic
Volatility
and Change of Time: Overview'
Colloquium Talk, Deprtment of Math
& Stat, U of C (January 24, 2008): 'Levy
Processes-from Probability to Finance' (pdf)
QMF 2007
Conference, Sydney, Australia (December
12-15, 2007): 'Explicit
Option
Pricing Formula for a Mean-Reverting Asset in
Energy Market' (pdf)
CMS
2007 Winter Meeting (Math
Finance
Session), London, ON, Canada (December 8-10,
2007): 'Pricing Variance Swaps for
Stochastic Volatilities with Delay and Jumps'(pdf)
SSC
2007 Meeting, St. John's, Newfoundland,
Canada (June 10-13, 2007): 'Modelling and Pricing
of Variance Swaps for Multi-Factor Stochastic
Volatilities with Delay' (pdf)
CAIMS*SCMAI
2007
Annual Meeting, Banff, Alberta, Canada
(20-24 May, 2007): 'Modelling
and
Pricing of Variance Swaps for Multi-Factor
Stochastic Volatilities with Delay '(pdf)
CMS
2006 Summer Meeting (Math
Finance
Session), Calgary, AB, Canada (June3-5,2006):
Change
of
Time in Mathematical Finance (ppt)
2006
Stochastic
Modeling Symposium, Toronto, ON, Canada (April
3-4, 2006): Change
of
Time Method in Mathematical Finance (ppt)
MITACS
Project Meeting, McMaster U, Hamilton, ON,
Canada (Nov 11-12, 2005):
Explicit Option Pricing Formula for
Mean-Reverting Asset (.ppt)
RJE2005
Conference, U of C, Calgary, Canada (July
24-27, 2005): "Pricing
Options
and Variance Swaps in Markov-Modulated
Markets"(.pdf)
SMOCS05
Conference, Daydream Island Resort, Australia
(July 10-16, 2005): "Optimal
Control
of SDDE with Applications in Economics"(.pdf)
MITACS 6th
Annual Conference, U of C, Calgary, Canada
(May 11-14, 2005): "Mean-Reverting
Models
in Financial and Energy Markets"(.htm)
5th
North-South
Dialog, Edmonton, Canada (April 30-May 1,
2005): "Mean-Reverting
Models
in Financial and Energy Markets"(.ppt)
University of
Calgary, Calgary, Canada, Department's of
Mathematics and Statistics Colloquium
(March 31, 2005):
"Mean-Reverting Models in Financial and Energy
Markets"(.ppt)
BIRS,
Banff, Canada, MITACS Project Meeting
(November 12-13, 2004): "Modeling
and
Pricing of Variance Swaps for Stochastic
Volatility with Delay"(.ppt)
University
of Toronto, Department of Statistics, Toronto,
Canada (April 15, 2004): "Modeling
of
Variance and Volatility Swaps for Financial
Markets with Stochastic Volatility"(.ppt)
Wilfrid Laurier
University, Waterloo, Canada, Dynamics Day
(April 7, 2004): "Modeling
and Analysis of Stochastic Model for a Marine
Bacteria Populations"(.ppt)
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"Lunch at the Lab"
Presentations
(weekly mathematical
finance seminar, Mathematical
and
Computational Finance Lab, U of C,
Calgary, Canada)
October
28, 2004: "Financial
Models
with Stochastic Volatilities"
November 25, 2004: "Stochastic
Stability
of Financial Models"
February 3, 2005: "Levy
Processes-From
Probability to Finance"
February 10, 2005: Paper
Review:
"New Insight into Smile, Mispricing and Value at
Risk: The Hyperbolic Model" by E. Eberlain, U.
Keller and K. Prause (1998)
March 10, 2005: "Explicit
Option
Pricing Formula for Mean-Reverting Model"
March 31, 2005 (joint with Department's Colloquium,
see above): "Mean-Reverting Models in Fiancial and
Energy Markets"
April 14, 2005: "Yet
One
More Derivation of Black-Scholes Formula by Change
of Time Method"
October 18, 2005: "Change
of
Time Method: Applications to Mathematical Finance.
I."
November 8, 2005: "Change
of Time Method: Applications to Mathematical
Fiancne. II."
December 6, 2005: "Girsanov's
Theorem:
From Game Theory to Finance"
February 3, 2006: Paper
Review:
"Parameter Estimation in a Stochastic Drift Hidden
Markov Model with a Cap" by J. Hernandez, D.
Suanders and L. Seco (2005)
February 10, 2006:
Paper Review: "On the Pricing and Hedging of
Volatility Derivatives" by S. Howison, A.
Rafailidis and H. Rasmussen (2004)
March 17, 2006: Book Review: "Commodities and
Commodity Derivatives" by Helyette Geman,
Wiley/Finance, 2005 (Chapter 1)
April 21, 2006: Book Review:"Commodities and
Commodity Derivatives" by Helyette Geman,
Wiley/Finance, 2005 (Chapter 3)
May 12, 2006: Book Review:"Commodities and Commodity
Derivatives" by Helyette Geman, Wiley/Finance, 2005
(Chapter 5)
June 2, 2006: Book Review:"Commodities and Commodity
Derivatives" by Helyette Geman, Wiley/Finance, 2005
(Chapter 9)
June 23, 2006: Book Review:"Commodities and
Commodity Derivatives" by Helyette Geman,
Wiley/Finance, 2005 (Chapter 11)
October 10, 2006: "Stochastic Volatilities with Delay
(SVD): Modelling and Pricing of Variance Swaps for SVD (Part
I)"
October 17, 2006:"Multi-Factor Stochastic
Volatilities with Delay (SVD): Modelling and Pricing of
Variance Swaps for MFSVD (Part II)"
November 7th, 2006: Book Review 'Energy Derivatives:
Pricing and Risk Management' by Clewlow and Strickland, 2000.
Chapter
1:
'Introduction to Energy Derivatives and Fundamentals of
Modelling and Pricing'
November 28th, 2006:
Book Review: 'Energy Derivatives:
Pricing and Risk Management' by Clewlow and Strickland, 2000.
Chapter 3: 'Volatility
Estimation in Energy Markets'
January 31st, 2007: Book Review:
'Energy Derivatives: Pricing and Risk Management' by Clewlow and
Strickland, 2000
Chapter 6: 'Spot Price
Models and Pricing Standard Instruments'
October 25th, 2007: 'Pricing
of
Variance Swaps for Stochastic Volatilities with Delay and
Jumps'
January 24th, 2008:
'Review W. Schoutens' book "Levy Processes in Finance, Wiley,
2003", Contents and Chapter 1: Intro'(pdf)
March 6th, 2008:'Review of W. Schoutens' book "Levy Processes in
Finance", Wiley, 2003; Chapter 5, sec. 5.3: 'Examples of Levy
and OU Processes'
March 20th, 2008:'Review of W. Schoutens' book "Levy Processes
in Finance", Wiley, 2003; Sec. 5.4-5.5 & Chapter 6 'Stock
Price Models by Levy Processes'
March 27th,2008:'Review of W. Schoutens' book"Levy Processes in
Finance", Wiley, 2003; Chapter 7 'Levy Models with Stochastic
Volatility'
May 15th, 2008:Review of W. Schoutens' book "Levy Processes in
Finance", Wiley, 2003; Chapter 10 'Interest-Rate Models'
October 22, 2008: 'Levy-Based
Interest
Rate Derivatives: Part I: Change of Time Method'
October 29, 2008: 'Levy-Based
Interest
Rate Derivatives: Part II: PIDEs'
January 22, 2009: 'Multi-Factor
Levy
Models I: Alpha-Stable Levy Processes'
January 29, 2009: 'Multi-Factor
Levy
Models II: Pricing of Financial and Energy Derivatives'
September 30, 2009: Chapter
2:
Stochastic Analysis of Independent Increment Processes
(Book Review: 'Stochastic Modeling of Electricity and Related
Markets' by F. Benth, J. Benth, S. Koekebakker, 2008, World Sci.
Publ.)
October 7, 2009: 'Pricing
of
Variance and Volatility Swaps with Semi-Markov Volatilities'
October 28, 2009: Chapter 4 (Sec. 4-1-4.2): 'Pricing
of Forwards and Swaps Based on Spot Price' (Book Review:
'Stochastic Modeling for Electiricity and Related markets' by F.
Benth, J. Benth, S. Koekebakker, 2008, World Sci. Publ.)
November 18, 2009: Chapter 4 (Sec. 4.3.-4.4): 'Pricing
of Forwards and Swaps ' (Book Review: 'Stochastic Modeling
for Electiricity and Related markets' by F. Benth, J. Benth, S.
Koekebakker, 2008, World Sci. P)
January 21, 2010: Chapter 6: 'Modelling
Forwards
and Swaps using the HJM Approach' (Book
Review:'Stochastic Modelling for Electricity and Related
markets' by F. Benth, J. Benth and S. Koekebakker, 2008, World
Sci. P)
(For Chapter 8 and 10 (and also any other odd Chapters) (Benth et al. (2008)) see our 'Lunch at
the Lab' web)
For more presentations-see our web: http://finance.math.ucalgary.ca/lunch.html
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Here
you can find my web page at York
University,Toronto, ON, Canada (November 2001-July
2004)
Last updated: April 2, 2013