parsimonious. Estimation based on Functional Gradient Descent is computationally feasible also in very large dimensions without …

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 …

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

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 …

new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

admitting multivariate thresholds in conditional volatilitiesand correlations. The model estimation is feasible in large … volatility functions of stock returns exhibit pronounced GARCH and threshold features, their conditional correlation dynamics …

. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. An …