University of Calgary
Anatoliy Swishchuk
- Professor
- Applied Mathematics
- Mathematics
- +1 (403) 220-3274
Website:
Office Hours
| Monday | Tuesday | Wednesday | Thursday | Friday | Saturday | Sunday |
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| 1p‑2p | - | 1p‑2p | - | - | - | - |
Research Interests
Currently Teaching
| P2023 - MATH 691.01 - Lévy Processes in Finance | ||||||||||
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| F2023 - STAT 407 - Introduction to Stochastic Processes | ||||||||||
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| F2023 - STAT 701 - Theory of Probability I | ||||||||||
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Publications
Book
- 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 Article
- 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
- Guo, Qi, Remillard, Bruno and Swishchuk, Anatoliy. "Multivariate General Compound Point Processes in Limit Order Books". Risks 8.3 (2020): 98. Print.
- Guo, Qi and Swishchuk, Anatoliy. "Multivariate General Compound Hawkes Processes and their Applications in Limit Order Books". Wilmott 2020.107 (2020): 42-51. Print.
- 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.
Degrees
- DSc
Institute of Mathematics of Ukraine, 1992 - PhD
Institute of Mathematics of Ukraine, 1984 - MSc
Institute of Mathematics of Ukraine, 1979
Students
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