complicates estimation and inference. Further, the presence of an additional state variable|volatility|renders the model less …We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with … GARCH, but we focus on a narrower set of specifications in which volatility follows its own random process and is therefore …

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

stochastic volatility with delay and jumps is discussed in this paper. A variance swap is a forward contract on realized variance …The jumps in stock market volatility are found to be so active that this discredits many recently proposed stochastic … volatility models without jumps (Bollerslev et al (2008)). The most convincing evidence comes from recent nonparametric work …

swap prices. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended … diffusion limit of the underlying GARCH model. An empirical study which relies on a joint estimation using both historical …

) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and … residual risk associated with the swap pricing …

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

swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global … hypothesis that financial intermediaries are marginal investors in the variance swap market. …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …