structure, we divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can … Bermudan cancelable PRDC swap having a 30 year maturity and annual exchange of fund flows, we have achieved an asymptotic …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time … divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently …

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …