This module is developed from the paper titled ‘Modeling and Pricing of Variance Swaps for Local Stochastic volatilities with Delay and Jumps’ presented in Bachelier Finance Society -6th World Congress on June 2010. The respected author of this publication is Anatoliy Swishchuk, Associate Professor in the Mathematical and Computational Finance Laboratory Department of Mathematics and Statistics in the University of Calgary.

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Interest Rate (%)
Maturity (year)
Delay (days)
Time of computation (year)
Spot Volatility (%)

The concept evaluates variance swaps for stochastic volatility considering both Jumps and Delay. The key risk factors considered in option pricing models, besides the diffusive price risk of the underlying asset, are stochastic volatility and Jumps. And the rate of change of a bond/stock account depends not only on the current price but also their historical prices.

The module require a few input parameters for the analysis including a time series of stock index and will return the expected present value of the per unit future pay-off at Maturity. In addition, the program displays the dependence of the variance swaps for different delay (up to 30 days) and maturity (up to 30 years) for the particular time series.

This Module Implemented by Md.Raziul Hasan & Md. Mizanur Rahman nur