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 …

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 …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …