Anatoliy Swishchuk

Professor

Department of Mathematics and Statistics

DSc

Institute of Mathematics of Ukraine, 1992

PhD

Institute of Mathematics of Ukraine, 1984

MSc

Institute of Mathematics of Ukraine, 1979

Contact information

Phone

Office: 403.220.3274

Location

Office : MS552

Courses

  • ACSC 600A - Research Seminar
  • MATH 600 - Research Seminar
  • MATH 600A.1 - Research Seminar (Research Seminar 2015)
  • STAT 507 - Introduction to Stochastic Processes
  • STAT 600.1 - Research Seminar (Research Seminar 2015)
  • STAT 600A.1 - Research Seminar (Research Seminar 2015)
  • MATH 277 - Multivariable Calculus for Engineers and Scientists

Research and teaching

Research areas

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

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.