The topic of this master thesis is the study of a LIBOR forward swap model with stochastic volatility and its … most common short rate models; it will introduce the Heath-Jarrow-Morton framework and it will describe the LIBOR swap …

We propose an alternative swap rate model for the pricing and hedging of swap rate path dependent European payoffs. We … derive the absence of arbitrage condition for the conditional expectation approximation. The swap rate model relies on … approach is illustrated on the variance swap example …

analysis of a portfolio hedging by means of a portfolio including swaps. Particularly, we are able to clarify the suitable swap … instruments (as VIX futures, inverse ETF, Swap future ...) for the hedging purpose instead of just using a classical bond …

structure of HIBOR (Hong Kong Interbank Offered Rate) swap rates by means of the Nelson-Siegel factors and principal components … yield levels. Further, we survey the predictability in the shape of the swap yield curve for these models. Our results … forecasting HIBOR swap yields …