Welcome to home page of Anatoliy Swishchuk!
MS552 (Mathematical Science Building)
Mathematical and Computational Finance Laboratory,
Department of Mathematic
s & 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:
1) Modeling&Pricing of Swaps for Financial&Energy Markets with Stochastic Volatilities, 2013, World Sci.
2) Random Dynamical Systems in Finance, 2013, CRC Press/Chapman&Hall.
Encyclopedia of Financial Models (Swaps, Change of Time Methods and Stochastic Volatility)

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   Current Teaching:
stat507F14                math275F14L04

Past Teaching:
stat213W14L04; stat507F13;amat481F13; stat213W13Lec4; amatstat601_24W13; AMAT483W12;
AMAT481F11; AMAT307F11L04; amat219W11L06; stat761W11; amat601.20F10 ;
amat481F10; MATH331W10; AMAT219W10; AMAT307F09; STAT761W09(New)
STAT409W09 ; AMAT601.20F08(New) ; AMAT425F07 ; MATH321F07 ; AMAT371F07W08 ; STAT509W07 ;
MATH321F06; AMAT481F06 ; AMAT371F06W07 ;
AMAT581W06(NEW) ; MATH331W06
; AMAT371F05W06 ; AMAT307F05  ; AMAT371F04W05 ; MATH331W05
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Presentations
AMMCS 2013, Waterloo, ON, Canada:
'Delayed Heston Model: Improvement of Vol Surface and Hedging of Vol Swaps' 
IME 2013 Congress, Copenhagen, Denmark
: 'Delayed Heston Model: Improvement of Vol Surface and Hedging of Vol Swaps'
ASMDA 2013, Mataro (Barcelona), June 25-30, 2013: 'Delayed Heston Model: Improvement of Vol Surface and Hedging of Vol Swaps'
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 LÚvy 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: September 3, 2014