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 …

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

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 …