Robustness analysis with correlated highly structured complex uncertainties
It is shown that the results reported by the author (ibid., vol.35, no.3, pp.350-352, Mar. 1990) on robustness analysis with highly structured independent perturbations is directly extendable to the case of correlated perturbations. A direct consequence of this extension is that the phase-sensitive structured singular value and the multiloop phase margin can be computed exactly. >
The objective of this paper is to study the arbitrage free pricing of the covariance swap for Barndorff–Nielsen and Shephard (BN–S) type Levy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is to obtain an accurate pricing expression which can be used with good computational accuracy. In this paper, we obtain analytic expressions for the pricing of the covariance swap. We show that with the analytic expressions obtained from the BN–S model, the error estimation in fitting the delivery price is much less than the existing models with comparable parameters. The models and pricing formulas proposed in this paper are computable in real time and hence can be efficiently used in practical applications.