New Economics Papers
on Market Microstructure
Issue of 2012‒06‒05
one paper chosen by
Thanos Verousis

  1. Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities By Giovanni Salvi; Anatoliy V. Swishchuk

  1. By: Giovanni Salvi; Anatoliy V. Swishchuk
    Abstract: In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and correlations swaps with semi-Markov volatility are presented as well. The novelty of the paper lies in pricing of volatility swaps in closed form, and pricing of covariance and correlation swaps in a market with two risky assets.
    Date: 2012–05

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