particular, since the start of the recent financial turmoil. We use monthly data on the Credit Default Swaps (CDS) of 41 major …

filter, to estimate a series of multi-currency quadratic models (MCQM) with LIBOR and swap rates from US and Japan and the … exchange rates between them. The estimation results shed further lights on the interaction between interest rates and exchange …

stochastically correlated default intensities, ormultivariate dynamic portfolio choice with volatility and correlation jumps. We then … dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generatevariations of the implied volatility … skew term structures that are largely unrelated to the level andcomposition of the spot volatility.[...] …

utility increases significantly when allowed to span the volatility risk using variance swap contracts. …, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … rate, called the variance swap rate, determined at the inception of the contract. We obtain a decade worth of variance swap …

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the … instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the … volatility is modelled by a square root process with a regime-switching reference level. We obtain analytical solutions for the …

We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of … estimating conditional volatility and correlation across yields. …