the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a … relative of the variance swap that in several respects has more desirable properties. First, simple variance swaps are robust …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

transparency or illiquidity. However, several of the important announcements concerning the international swap programs …

negative swap spreads should not be surprising. In the calibrated model, swap spreads can reasonably match empirical … counterparts without the need for large demand imbalances in the swap market. Empirical evidence is consistent with the relation … between term spreads and swap spreads in the modelInstitutional subscribers to the NBER working paper series, and residents of …

the municipal swap market. By applying an affine term-structure framework, we are able to identify both the marginal tax …

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and … swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is … able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …

sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …

In this paper, we describe the evolution of the Federal Reserve's swap lines from their inception in 1962 as a … the Great Recession. We describe a number of consequences associated with swap operations. We argue, for example, that …