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

, 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 … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

future changes in the rate of inflation. More recently, this relationship has been strengthened through the introduction of …-of-sample forecasting exercise. We find that three-regime models that allow for shifts in the inflation risk premium or real interest rate (or … both) are the most promising forecasting models of inflation when using the term structure. …

inflation, (ii) expected inflation, (iii) unexpected inflation and (iv) changes in expected inflation. Using the structural … and inflation, we find that the Mundell-Tobin model and the explanation of Fama and Gibbons (1982) are not ceompetitors …

inflation target. In contrast, I show that the standard New Keynesian monetary model predicts that nominal interest rates should … of New Keynesian models with sticky wages, price and wage indexation and habit formation in consumption. …

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

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 …