A Consistent Pricing Model for Swaptions and Forward Volatility Contracts on Swaptions
In the financial markets many different types of contracts are traded in order to control the risks of a portfolio. One of the most traded financial product is the swaption. A risk associated with a swaption, is the so called volatility risk. A tool for hedging this risk is the forward volatility contract, which allows an investor to lock in the forward volatility embedded in the shape of the volatility surface observed today. The objective of this thesis, is to construct a mathematical model, which is able to price these forward volatility contracts consistent with the pricing of vanilla swaptions.
Student: Asbjørn Snitkjær Meinhardt
Education: Mathematics - Economics