, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … utility increases significantly when allowed to span the volatility risk using variance swap contracts. … 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 …-time framework with one stock, one bank account and a family of European options for all maturities with a fixed payoff function h … 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 …

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 …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. …

and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …