the second generation of volatility derivatives. One of them is a swap contract on the quadratic covariation between an …We revisit robust replication theory of volatility derivatives and introduce a broader class which may be considered as … fair strike is given in a remarkably simple form, which enable to compute it from the Black–Scholes implied volatility …

cross-border currency and interest rate derivative operations in calm and turbulent periods, with a view of extracting … substitutability, and incorporate the enriched information set provided by derivative-based transactions into monetary policy design …

gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative … interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall …

-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …

-variation swap, and a multiple of an FlogF contract prices a share-weighted G-variation swap, under arbitrary exponential Lévy … gamma-swap pricing results. In the presence of jump risk, however, we show that the valuation multiplier differs from 2, in … minimize the risk in a family of hedging strategies for G-variation. Copyright Springer-Verlag Berlin Heidelberg 2013 …