This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional …

We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a … significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure … against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …We study American swaptions in the linear-rational (LR) term structure model introduced. The American swaption pricing … that Bermudan swaptions can be efficiently priced as well …

presented here is a generic approximation that provides an explicit European swaptions price for local volatilities LMM. The …

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as …

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We … build an interest rate model for which all the market price changes of hedging instruments, interest rate swaps and European … swaptions, are interpreted as the state variable variations, and no diffusion parameter calibration procedure is required. The …