In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As an example, we consider stochastic volatility driven by a two-state continuous Markov chain. In this case, numerical examples are presented for VIX and VXN volatility indices...

In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and correlations swaps with semi-Markov volatility are presented as well. The novelty of the paper lies...

This paper is devoted to the pricing of variance and volatility swaps in energy market. We found explicit variance swap formula and closed form volatility swap formula (using Brockhaus-Long approximation) for energy asset with stochastic volatility that follows continuous-time GARCH (1,1) model...

In this paper we study stochastic models for electricity, gas and temperature markets' contracts with delay and jumps. The basic products in these markets are spot, futures and forward contracts, swaps and options written on these. We concentrate our study on pricing of these kind of contracts....

R. Cont and A. de Larrard (SIAM J. Financial Mathematics, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion limit of the price process. As suggested by...

In this paper, we further study various new Hawkes processes, namely, so-called general compound and regime-switching general compound Hawkes processes to model the price processes in the limit order books. We prove Law of Large Numbers (LLN) and Functional Central Limit Theorems (FCLT) for...

In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and the Functional Central Limit Theorem (FCLT) are...

In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove Law of Large Numbers and Functional Central Limit Theorems (FCLT) for both processes. The two FCLTs are applied to...

The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for Limit Order Books that incorporates an arbitrary number of...

In this paper, we study various new Hawkes processes. Specifically, we construct general compound Hawkes processes and investigate their properties in limit order books. With regards to these general compound Hawkes processes, we prove a Law of Large Numbers (LLN) and a Functional Central Limit...