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 …

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 …

This paper studies modelling and existence issues for market models of stochastic implied volatility in a continuous … we give explicit examples of volatility coefficients satisfying the required assumptions. …

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the … instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the … volatility is modelled by a square root process with a regime-switching reference level. We obtain analytical solutions for the …

adjusted to the volatility structure. The proposed approach leads to an efficient and exible constron met for trinomial trees …

derivatives are mostly uncorrelated, advocating the presence of unspanned volatility. This letter shows that their results can be … explained in the framework of a Gaussian HJM model with humped term-structure volatility. This implies that hedging interest …

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 …

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