?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F174%2F&rft.title=Price+Pseudo-Variance%2C+Pseudo-Covariance%2C+Pseudo-Volatility%2C+and+Pseudo-Correlation+Swaps+-+In+Analytical+Closed-Forms&rft.creator=Cheng%2C+Raymond+K.&rft.creator=Lawi%2C+St%C3%A9phan&rft.creator=Swishchuck%2C+Anatoliy&rft.subject=Finance&rft.description=In+the+usual+complete+market+framework%2C+the+unique+prices+of+swaps+involving+so-called+pseudo-statistics+can+be+computed+as+the+mathematical+expectation+of+the+discounted+payoffs+under+the+measure+in+which+the+discounted+rate+process+is+a++martingale.+In+this+report%2C+we+present+analytic+formulas+for+these+expectations+for+the+pseudo-variance+and+pseudo-volatility+swaps%2C+as+requested+by+the+problem+statement.+Also%2C+we+use+Monte-Carlo+simulation+to+experiment+with+a+stochastic+volatility+model.&rft.date=2002&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F174%2F1%2FRBC.pdf&rft.identifier=++Cheng%2C+Raymond+K.+and+Lawi%2C+St%C3%A9phan+and+Swishchuck%2C+Anatoliy++(2002)+Price+Pseudo-Variance%2C+Pseudo-Covariance%2C+Pseudo-Volatility%2C+and+Pseudo-Correlation+Swaps+-+In+Analytical+Closed-Forms.++%5BStudy+Group+Report%5D+++++