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

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap …

, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …

structural credit risk models. Using credit default swap(CDS) spreads, we find that, in the time series, average credit spreads …

needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …