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q-fin.PR2012
A Semi-Markov Modulated Interest Rate Model
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated…
q-fin.PR2012
Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Giovanni Salvi, Anatoliy V. Swishchuk
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…