from a given set defined by the parametric volatility specification and the structure of a continuous time Markov chain that … modulates the volatility function. The first stochastic volatility specification generates jump discontinuities in volatility and … shape-preserving evolution of the volatility term structure in thefuture. The second specification allows, in addition, for …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by …

utility increases significantly when allowed to span the volatility risk using variance swap contracts. …, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap …

difference (spread) between the two-period CMS swap rates calcu-lated by convexity adjustment and Forward Libor Model. The spread … 0.8750 and 0.7939, respectively. Moreover,convexity adjustment yields CMS swap rates higher than Forward Libor Modeldoes …. Since the pricing using Forward Libor Model would be exact, we concludethat the convexity adjustment overestimates CMS swap …

. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect …