Pricing volatility swaps under Heston's stochastic volatility model with regime-switching

Mathematics

• Stochastic Volatility Model 100%
• Swap 99%
• Regime Switching 98%
• Volatility 85%
• Pricing 82%
• Valuation 38%
• Martingale 35%
• Continuous Time 32%
• Esscher Transform 31%
• Incomplete Markets 27%
• Macroeconomics 25%
• Derivative 23%
• Market 19%
• Markov chain 15%
• Partial differential equation 13%
• Model 6%

Business & Economics

• Heston 99%
• Regime Switching 86%
• Swaps 85%
• Stochastic Volatility Model 83%
• Variance Swap 55%
• Pricing 50%
• Martingale 44%
• Derivatives 34%
• Esscher Transform 29%
• Continuous-time Markov Chain 27%
• Partial Differential Equations 23%
• Incomplete Markets 21%
• Macroeconomic Factors 21%
• Continuous Time 18%

Engineering & Materials Science

• Stochastic models 82%
• Derivatives 41%
• Costs 28%
• Partial differential equations 24%
• Markov chains 24%