Stochastic control and pricing under Swap measures.

This paper relates to an approach described in [6] which, for the pricing of bonds and bond derivatives, is alternative to the classical approach that involves martingale measures and is based on the solution of a stochastic control problem, thereby avoiding a change of measure. It turns out that this approach can be extended to various situations where traditionally a change of measure is involved via a change of numeraire. In the present paper we study this extension for the case of Swap measures that are relevant in the classical approach to the pricing of Swaps and Swaptions.