The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the … paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps …

pricing variance, volatility, covariance and correlation swaps for financial markets with semi-Markov volatilities. The paper … correlation swaps for these markets. Formulas used for the numerical evaluation of averaged variance, volatility, covariance and … correlation swaps with semi-Markov volatilities are presented as well. The formulas that are detailed within the paper are …

In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As …

-Markov Volatilities</li> <li>Covariance and Correlation Swaps for Markov-Modulated Volatilities</li> <li>Volatility and Variance Swaps for …