The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led …

swaps on DAX and its constituents during the 5-years period from 2004 to 2008. -- Conditional Variance Swap ; Corridor … Variance Swap ; Dispersion Trading ; Gamma Swap ; Variance Swap ; Volatility Replication ; Volatility Trading …

This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …

by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed …

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of …

interest rate swap to be economically equivalent to its uncleared counterpart. Among the currently available offerings for … – while a fourth method, used in the IDCG swap futures contract, is shown to lead to substantial deviations in valuation with … respect to a non-cleared interest rate swap. Using a Hull-White model calibrated to the market data as of December 2010, we …