Covariance and Correlation Swaps for Markov-Modulated Volatilities

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

Chapter 14 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 189-210 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionMartingale Representation of Markov ProcessesVariance and Volatility Swaps for Financial Markets with Markov-Modulated Stochastic VolatilitiesPricing Variance SwapsPricing Volatility SwapsCovariance and Correlation Swaps for a Two Risky Assets for Financial Markets with Markov-Modulated Stochastic VolatilitiesPricing Covariance SwapsPricing Correlation SwapsCorrelation Swap Made SimpleExample: Variance, Volatility, Covariance and Correlation Swaps for Stochastic Volatility Driven by Two-State Continuous Markov ChainNumerical ExampleS&P500: Variance and Volatility SwapsS&P500 and NASDAQ-100: Covariance and Correlation SwapsCorrelation Swaps: First Order CorrectionSummaryBibliography

Keywords: Stochastic Volatilities; Variance; Volatility; Covariance; Correlation Swaps; Change of Time; Option Pricing; Stochastic Volatilities with Delay; Multi-Factor Stochastic Volatilities Models; Regime-Switching Stochastic Volatilities; Levy-Based Stochastic Volatilities with Delay; COGARCH Stochastic Volatility; Stochastic Volatility Driven by Fractional Brownian Motion; Delayed Heston Model; Semi-Markov Stochastic Volatilities; Energy Markets; Forward and Futures in Energy Markets (search for similar items in EconPapers)
Date: 2013
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