Working Papers
Anatoliy Swishchuk & Yuliya Mishura '
Modeling and Pricing of Variance and Volatility Swaps for Stochastic Volatilities Driven by Fractional Brownian Motion' submitted (August 4, 2009) to the SSRN
and to the IJTAF

Anatoliy Swishchuk & Matthew Couch 'Volatility and Variance Swaps for COGARCH(1,1) Model' submitted (July 29 2009) to the SSRN
and to the Wilmott Magazine

Anatoliy Swishchuk 'Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities', submitted to the III International Symposium on Semi-Markov Models: Theory and Applications, Cagliari, Italy, June 17-19, 2009, SSRN and CAMQ

Anatoliy Swishchuk 'Modeling and Pricing of Swaps for Stochastic Volatilities with Dealy and Jumps', submitted to the SSRN , QMF 2009 Conference, Sydney, Australia, and Appl. Math. Finance

Anatoliy Swishchuk 'Levy-Based Interest Rate Derivatives: Change of Time and PIDEs', submitted to SSRN and CAMQ (December 2008) (accepted, CAMQ, v.16, No2, 2008)


Anatoliy Swishchuk 'Multi-Factor Levy Models: Change of Time and Pricing of Financial and Energy Derivatives', submitted to the SSRN , QMF 2008 Conference, Sydney, Australia, December 17-20
and USA-China Business Review


Anatoliy Swishchuk
'Change of Time and Pricing Financial and Energy Derivatives: Multi-Factor Levy Models', submitted to the
Bachelier Finance Society 5th World Congress 2008, London, 15-19 July


Anatoliy Swishchuk 'Interest Rate Derivatives and Change of Time Method', submitted to the 2008 Stochastic Modeling Symposium, Montreal, 1-2 December


Anatoliy Swishchuk 'Asymptotics of Pseudo-Statistics in Pricing of Pseudo-Swaps', submitted to the 2008 Barcelona Conference on Asymptotic Statistics, Barcelona, 1-5 September


Robert Elliott & Anatoliy Swishchuk: Pricing Options  in Markov-Modulated Fractional Brownian Markets, E-Yellow Series, U of C, 2007



Anatoliy Swishchuk:
Explicit Option Pricing Formula for a Mean-Reverting Asset, February 25, 2005, 12 p. (PPT Presentation at the "Lunch at the Lab", Thu, March 10, 2005)
E-Yellow Series Preprint at the Dept of Math & Stat, U of C (October 17, 2005) (PDF)


Robert Elliott & Anatoliy Swishchuk:
Pricing Options and Variance Swaps in Markov-Modulated Brownian and Fractional Brownian Markets, December 6, 2004, 37 p. (submitted to RJE 2005 Conference, December 13, 2004)   (PDF)


Anatoliy Swishchuk &
Antony Ware: Valuing of Swing Options for Energy Markets with Jumps, 2004, 10p.


Anatoli Ivanov & Anatoliy Swishchuk: Optimal control of stochastic differential delay equations with application in economics, December 6, 2004, 12 p. (submitted to SIAM J. on Control and Optimization) (PDF)


Anatoli Ivanov & Anatoliy Swishchuk: Optimal control of stochastic differential delay equations, December 10, 2003, 6p. (submitted to Applied Mathematics Letters) (PDF)


Dong Liang, Anatoliy Swishchuk, Jianhong Wu  &
Fan Zhang: Modeling and Analysis of Stochastic Model for a Marine Bacteria Populations, September, 2004, 29p.


Anatoliy Swishchuk & Jianhong Wu: Averaging and Merging of Stochastic SARS Model, January 2004, 12p.