, fluctuations in the Swiss franc against the euro have been surprisingly moderate. The Swiss franc has thus tracked the euro … monetary policy with the new landscape defined by EMU. Four hypotheses of euro tracking are considered. …

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

on recent developments in the Sterling and Euro money markets. …

, 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 …

difference (spread) between the two-period CMS swap rates calcu-lated by convexity adjustment and Forward Libor Model. The spread … 0.8750 and 0.7939, respectively. Moreover,convexity adjustment yields CMS swap rates higher than Forward Libor Modeldoes …. Since the pricing using Forward Libor Model would be exact, we concludethat the convexity adjustment overestimates CMS swap …

. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect …