disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …

economic development and with different long-term challenges. This 30-year-long swap is structured in such a way to capture the … today to pay for educational, technological, and other infrastructural services. To price the swap, we apply an exponential …

significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …

This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …

This paper presents the first comprehensive examination of liquidity in the global foreign exchange (FX) swap market … main findings: First, FX swap liquidity is fragmented across currencies, tenors, and time. Second, liquidity conditions …

In the first part of this chapter, we explain the main characteristics of foreign exchange (FX) swap and cross …-currency swap contracts. We emphasize the importance of the valuation adjustment (XVA) approach and then map the FX swap market in … terms of currencies, parties, maturities, and size. The second part is devoted to the institutional framework of the FX swap …