pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper … popularity of derivative securities such as swaps, futures and options written on the volatility index VIX. Within this paper, we … correlation swaps for these markets. Formulas used for the numerical evaluation of averaged variance, volatility, covariance and …

actions on the current short-term interest rate. Examining the case of EUR interest rate swaps, the findings of the paper lend …

its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future …

survivor swaps (S-swaps). We analyze how the mortality model and premium principle assumptions affect pricing and risk measures …

-currency swaps transition to compounded SOFR, corporates may face a trade-off between the higher costs of using Term SOFR versus …

, interest rate swaps are likely to have an important role in the Chinese financial system. This paper shows that the short …

The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the … stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps … motivation of this paper is to consider the pricing of swaps based on pseudo-statistics, instead of stochastic models, and to …