摘要翻译：
本文给出了具有半马尔可夫挥发的金融市场模型，并对该市场进行了价格协整和相关互换。本文还对半马尔可夫波动率下的变差交换、波动率交换、协变交换和相关交换进行了数值计算。本文的创新之处在于封闭形式下的波动率互换定价，以及两种风险资产市场中的协方差和相关性互换定价。
---
英文标题：
《Modeling and Pricing of Covariance and Correlation Swaps for Financial
  Markets with Semi-Markov Volatilities》
---
作者：
Giovanni Salvi and Anatoliy V. Swishchuk
---
最新提交年份：
2012
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
英文摘要：
  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.
---
PDF链接：
https://arxiv.org/pdf/1205.5565