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Variance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion

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: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

Suggested Citation

  • Anatoliy Swishchuk, 2013. "Variance and Volatility Swaps for Volatilities Driven by Fractional Brownian Motion," World Scientific Book Chapters, in: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, chapter 16, pages 225-240, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814440134_0016
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