models with simultaneous jumps in the asset price and variance processes. The resulting pricing formula of the gamma swap is …

the swap-settled forward have started trading at non-zero prices. Apart from full- fledged term-structure models, a simple … arbitrage-free model to consistently value both cash-settled and swap-settled swaptions has been lacking so far. We propose a … straightforward arbitrage-free model that consistently values cash-settled and swap-settled swaptions, and that also allows to match …

very satisfactory under four different pricing error functions. The result is that taking a position in a third moment swap … considerably improves the performance of the standard hedge of a variance swap based on a static position in the log-contract and a … dynamic trading strategy. The position in the third moment swap is taken by running a Monte Carlo simulation …

in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …

derive the diffusion limit of a Gaussian GARCH model and we further investigate the convergence of the variance swap prices … to its continuous-time limit. Numerical examples on the term structure of the variance swap rates and on the convergence …