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

structural credit risk models. Using credit default swap(CDS) spreads, we find that, in the time series, average credit spreads …

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap …

measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze … the relationship between the swap spreads and credit risk variables.(...) …

, 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 … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …

managing even a single plain vanilla Swap. In this qualitative note we review the problem trying to shed some light on this …

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding …