eprintid: 174
rev_number: 4
eprint_status: archive
userid: 6
dir: disk0/00/00/01/74
datestamp: 2008-10-13
lastmod: 2015-05-29 19:48:43
status_changed: 2009-04-08 16:55:19
type: report
metadata_visibility: show
item_issues_count: 0
creators_name: Cheng, Raymond K.
creators_name: Lawi, Stéphan
creators_name: Swishchuck, Anatoliy
contributors_name: Badescu, Andrei
contributors_name: Mekki, Hammouda Ben
contributors_name: Gashaw, Asrat Fikre
contributors_name: Hua, Yuanyuan
contributors_name: Molyboga, Marat
contributors_name: Neocleous, Tereza
contributors_name: Petratchenko, Yuri
title: Price Pseudo-Variance, Pseudo-Covariance, Pseudo-Volatility, and Pseudo-Correlation Swaps - In Analytical Closed-Forms
ispublished: pub
subjects: finance
studygroups: ipsw6
companyname: RBC Financial Group
full_text_status: public
abstract: In the usual complete market framework, 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, we present analytic formulas for these expectations for the pseudo-variance and pseudo-volatility swaps, as requested by the problem statement. Also, we use Monte-Carlo simulation to experiment with a stochastic volatility model.
problem_statement: The problem concerns the pricing of swaps involving the so-called pseudo-statistics, namely the pseudo-variance, -covariance, -volatility, and -correlation. These products provide an easy way for investors to gain exposure to the future level of volatility.
date: 2002
date_type: published
pages: 11
citation:   Cheng, Raymond K. and Lawi, Stéphan and Swishchuck, Anatoliy  (2002) Price Pseudo-Variance, Pseudo-Covariance, Pseudo-Volatility, and Pseudo-Correlation Swaps - In Analytical Closed-Forms.  [Study Group Report]     
document_url: http://miis.maths.ox.ac.uk/miis/174/1/RBC.pdf