SEC and CFTC reports estimate that High Frequency strategies are responsible for about 60% of all transactions on U.S. shares. In Europe, this percentage is around 40% and growing. High Frequency strategies are those characterized by a brief holding period, which can range from a split second to...

The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff-Nielsen and Shephard type Lévy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is to obtain an accurate pricing expression which can...