Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering. Swishchuk, Anatoliy; Manca, Raimondo — 2010 Mathematical Problems in Engineering
Diffusion approximations of the geometric Markov renewal processes and option price formulas. Swishchuk, Anatoliy; Islam, M.Shafiqul — 2010 International Journal of Stochastic Analysis
Pricing variance swaps for stochastic volatilities with delay and jumps. Swishchuk, Anatoliy; Xu, Li — 2011 International Journal of Stochastic Analysis