Anatoliy Swishchuk

Professor

aswish@ucalgary.ca

Phone number

Location

Office: MS514

DSc Mathematics, Nat Academy Sciences Ukraine, 1992

PhD Mathematics, Nat Academy Sciences Ukraine, 1984

MSc Mathematics, Kyiv State University, Kyiv, Ukraine, 1979

BSc Mathematics, Kyiv State University, 1979

Stochastic calculus, Financial mathematics, Biomathematics, Random evolutions and their applications

Course number	Course title	Semester
MATH 581	Stochastic Calculus for Finance	Fall
MATH 681	Stochastic Calculus for Finance	Fall
STAT 507	Introduction to Stochastic Processes	Fall
MATH 691.01	Lévy Processes in Finance	Spring

Variance and volatility swaps and futures pricing for stochastic volatility models. Zijia Wang; Anatoliy Swishchuk. Routledge/Taylor & Francis Group. 95-122. (2019)
Stochastic Modelling and Pricing of Energy Markets' Contracts with Local Stochastic Delayed and Jumped Volatilities . Anatoliy Swishchuk. World Scientific. 22-Jan. (2019)
Compound Hawkes processes in limit order books. Bruno Remillard; Jinathan Chavez-Casillas; Anatoliy Swishchuk; Robert Elliott. Routledge/Taylor & Francis Group. 191-215. (2019)

More publications

Books

Swishchuk, Anatoliy and Wu, Jianhong. Evolution of Biological Systems in Random Media: Limit Theorems and Stability Kluwer Acad. Publ., 2003. Print.
Swishchuk, Anatoliy. Random Evolutions and Their Applications. New Trends Kluwer Acad. Publ., 2000. Print.
Swishchuk, Anatoliy. Random Evolutions and Their Applications Kluwer Acad. Publ., 1997. Print.
Swishchuk, Anatoliy and Korolyuk, V. S.. Evolution of Systems in Random Media CRC Press, 1995. Print.
Swishchuk, Anatoliy and Korolyuk, V. S.. Semi-Markov Random Evolutions Kluwer Acad. Publ., 1995. Print.
Swishchuk, Anatoliy and Korolyuk, Vladimir S.. Semi-Markov Random Evolutions Kluwer Academic Publishers, 1992. Print.

Conference proceedings

Swishchuk, Anatoliy and Elliott, Robert. Pricing Options and Variance Swaps in Markov-Modulated Brownian and Fractional Brownian Markets 2004.

Journal articles

Swishchuk, Anatoliy and Kazmerchuk, Yuriy and Wu, Jianhong. "The Pricing of Options for Security Markets with Delayed Response". Mathematics and Computers in Simulation, (2006). Print.

Swishchuk, Anatoliy. "Modeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with Delay'". Canadian Applied Math Quarterly 14.4 (2006): 441-469. Print.
Swishchuk, Anatoliy. "Modeling and Pricing of Variance Swaps for Stochastic Volatilities with Delay". WILMOTT Magazine 19.2 (2005): 63-73. Print.

Swishchuk, Anatoliy and Kazmerchuk, Yuriy and Wu, Jianhong. "A Continuous-time GARCH model for stochastic volatility with delay". Canadian Applied Math Quarterly 13.2 (2005). Print.
Swishchuk, Anatoliy. "Modeling of Variance and Volatility Swaps for Fiancial Markets with Stochastic Volatility". WILMOTT Magazine September Issue.2 (2004): 64-72. Print.

Journal articles - peer reviewed

Vadori, Nelson and Swishchuk, Anatoliy. "Smiling for the Delayed Volatility Swaps". Wilmott 2014.74 (2014): 62–73. Print.
Vadori, Nelson and Swishchuk, Anatoliy. "Strong law of large numbers and central limit theorems for functionals of inhomogeneous semi-Markov processes". Stochastic Analysis and Applications (to appear), Print.

Preprint

Swishchuk, Anatoliy. "Explicit Option Pricing Formula for a Mean-Reverting Asset". , Print.