Variance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

Chapter 16 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 225-240 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionVariance and Volatility SwapsFractional Brownian Motion and Financial Markets with Long-Range DependenceDefinition and Some Properties of Fractional Brownian MotionHow to Model Long-Range Dependence on Financial MarketModeling of Financial Markets with Stochastic Volatilities Driven by Fractional Brownian Motion (fBm)Markets with Stochastic Volatility Driven by Fractional Ornstein-Uhlenbeck ProcessMarkets with Stochastic Volatility Driven by Fractional Vasićek ProcessMarkets with Stochastic Volatility Driven by Geometric Fractional Brownian MotionMarkets with Stochastic Volatility Driven by Fractional Continuous-Time GARCH ProcessPricing of Variance SwapsVariance Swaps for Markets with Stochastic Volatility Driven by Fractional Ornstein-Uhlenbeck ProcessVariance Swaps for Markets with Stochastic Volatility Driven by Fractional Vasićek ProcessVariance Swaps for Markets with Stochastic Volatility Driven by Geometric fBmVariance Swaps for Markets with Stochastic Volatility Driven by Fractional Continuous-Time GARCH ProcessPricing of Volatility SwapsVolatility Swaps for Markets with Stochastic Volatility Driven by Fractional Ornstein-Uhlenbeck ProcessVolatility Swaps for Markets with Stochastic Volatility Driven by Fractional Vasićek ProcessVolatility Swaps for Markets with Stochastic Volatility Driven by Geometric fBmVolatility Swaps for Markets with Stochastic Volatility Driven by Fractional Continuous-Time GARCH ProcessDiscussion: Asymptotic Results for the Pricing of Variance Swaps with Zero Risk-Free Rate when the Expiration Date IncreasesSummaryBibliography

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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