measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …

-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap … revenue. Our results indicate that the new swap not only solves the serious problems of widespread financing constraints for …

investment horizon from the variance swap's maturity. We extract VRP from actual S&P 500 variance swap quotes and we test four …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …