distributed, our approach for pricing variance and volatility swaps could be greatly simplified, benefit from parallel computing …

pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper … popularity of derivative securities such as swaps, futures and options written on the volatility index VIX. Within this paper, we … correlation swaps for these markets. Formulas used for the numerical evaluation of averaged variance, volatility, covariance and …

This paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4 …-average swaps under discrete sampling. The validity of the proposed pricing formulas is rigorously established within the admissible …

its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future …

actions on the current short-term interest rate. Examining the case of EUR interest rate swaps, the findings of the paper lend …

-currency swaps transition to compounded SOFR, corporates may face a trade-off between the higher costs of using Term SOFR versus …

survivor swaps (S-swaps). We analyze how the mortality model and premium principle assumptions affect pricing and risk measures …