In this paper we analyze the attractiveness of a so called mortality swap, which combines an immediate annuity and a … interest rates there exist significant arbitrage opportunities in particular for elderly and high income people which can …

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

, 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 …

employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …

Arbitrage pricing cannot be applied to commodity futures because the physicalcommodity does not represent a pure asset …

defaultable bonds and give conditions under which these dynamics are arbitrage-free. These conditions are a drift restriction that …

We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term …