In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of varinace, volatility, covarinace and correlations swaps with semi-Markov volatility are presented as well. The novelty of the paper lies...

In this paper, we price covariance and correlation swaps for financial markets with Markov-modulated volatilities. As an example, we consider stochastic volatility driven by two-state continuous Markov chain. In this case, numerical example is presented for VIX and VXN volatility indeces (S&P...

In this paper, we model financial markets with semi-Markov volatilities and price averaged variance, volatility, covariance and correlation swaps for these markets. Formulas used for the numerical evaluation of averaged variance, volatility, covariance and correlation swaps with semi- Markov...