This study investigates the value of two variance components and variance jumps in the pricing of VIX derivatives. In an attempt to significantly reduce the computational burden, we propose an efficient numerical technique for the pricing of VIX derivatives under the affine framework. Our...

Catastrophe (CAT) swaps are bilateral contracts through which CAT losses can be transferred between two counterparties. They do not require collateral upon initiation, making them default-risky, have an average maturity of 3 years and may use index triggers, which suggest the valuation model...