disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …

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

traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a … puzzling skew sensitivities of option markets with credit-constrained intermediaries and it builds a challenge for many reduced …

significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …

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 …

for pricing, hedging, and risk-management in the interest rate swap market. Financial crisis, term structure, swaps …