Volatility and Variance Swaps for the COGARCH(1,1) Model

Anatoliy Swishchuk
Additional contact information
Anatoliy Swishchuk: University of Calgary, Canada

Chapter 15 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 211-224 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionLévy ProcessesThe COGARCH Process of Klüppelberg et al.The COGARCH(1,1) EquationsInformal Derivation of COGARCH(1,1) EquationThe Second Order Properties of the Volatility Process σtPricing Variance and Volatility Swaps under the COGARCH(1,1) ModelVariance SwapsVolatility SwapsFormula for ξ1 and ξ2SummaryBibliography

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814440134_0015 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814440134_0015 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814440134_0015

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().