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

lower bound involves the computation of a one dimensional Fourier transform independently of the swap length. In addition …

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

very satisfactory under four different pricing error functions. The result is that taking a position in a third moment swap … considerably improves the performance of the standard hedge of a variance swap based on a static position in the log-contract and a … dynamic trading strategy. The position in the third moment swap is taken by running a Monte Carlo simulation …

to default swap premiums. We find that the model works well for investment grade credit default swaps, but only if we use … swap or repo rates as proxy for default-free interest rates. This indicates that the government curve is no longer seen as …

A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the … spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future …