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Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities

In: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities

Author

Listed:
  • Anatoliy Swishchuk

    (University of Calgary, Canada)

Abstract

The following sections are included:IntroductionMartingale Characterization of Semi-Markov ProcessesMarkov Renewal and Semi-Markov ProcessesJump Measure for Semi-Markov ProcessMartingale Characterization of Semi-Markov ProcessesMinimal Risk-Neutral (Martingale) Measure for Stock Price with Semi-Markov Stochastic VolatilityCurrent Life Stochastic Volatility Driven by Semi-Markov Process (Current Life Semi-Markov Volatility)Minimal Martingale MeasurePricing of Variance Swaps for Stochastic Volatility Driven by a Semi-Markov ProcessExample of Variance Swap for Stochastic Volatility Driven by Two-State Continuous-Time Markov ChainPricing of Volatility Swaps for Stochastic Volatility Driven by a Semi-Markov ProcessVolatility SwapPricing of Volatility SwapDiscussions of Some ExtensionsLocal Current Stochastic Volatility Driven by a Semi-Markov Process (Local Current Semi-Markov Volatility)Local Stochastic Volatility Driven by a Semi-Markov Process (Local Semi-Markov Volatility)Dupire Formula for Semi-Markov Local VolatilityRisk-Minimizing Strategies (or Portfolios) and Residual RiskSummaryBibliography

Suggested Citation

  • Anatoliy Swishchuk, 2013. "Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 13, pages 173-187, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814440134_0013
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