COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES

DOI10.1142/S021902491450006XMaRDI QIDQ5411990zbMATHOpenAlexFDO

Authors Giovanni Salvi, Anatoliy Swishchuk

Publication date 25 April 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902491450006x

zbMATH Keywords

variance swapsvolatility swapsVIX indexcorrelation swapscovariance swapsMarkov-modulated volatilityVXN index

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)

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Cites work

• Hidden Markov models in finance
• On the pricing and hedging of volatility derivatives
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• Pricing options on realized variance
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

Cited in

(4)

• Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
• Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
• Variance and volatility swaps valuations with the stochastic liquidity risk

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