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» Anatoliy Swishchuk
Anatoliy Swishchuk
Professor
Applied Mathematics
Mathematics
+1 (403) 220-3274
Mathematical Sciences 514
aswish@ucalgary.ca
Website:
http://people.ucalgary.ca/~aswish
Office Hours
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
1p‑2p
-
1p‑2p
-
-
-
-
Research Interests
Mathematical Finance:
mathematical finance; biomathematics; risk theory; random evolutions and their applications; stochastic calculus;
Algorithmic Trading
General:
Energy Modeling
Currently Teaching
F2023 - STAT 407 - Introduction to Stochastic Processes
Details
LEC 1
MWF 15:00 - 15:50
Outline
F2023 - STAT 701 - Theory of Probability I
Details
LEC 1
MWF 11:00 - 11:50
view past courses
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.
Courses
Supervised Students
Degrees
DSc
Institute of Mathematics of Ukraine, 1992
PhD
Institute of Mathematics of Ukraine, 1984
MSc
Institute of Mathematics of Ukraine, 1979
Students
Yi Zhang
2015 to Present
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