  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.
