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

, 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 …

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

relying on excursion theory. We derive the Laplace transform of the first instant the Brownian Motion reaches a positive level …

filter, to estimate a series of multi-currency quadratic models (MCQM) with LIBOR and swap rates from US and Japan and the …