Antonio Mele

(Author)

The Price of Fixed Income Market Volatility (2015)Hardcover - 2015, 18 January 2016

The Price of Fixed Income Market Volatility (2015)
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Part of Series
Springer Finance
Print Length
250 pages
Language
English
Publisher
Springer
Date Published
18 Jan 2016
ISBN-10
3319265229
ISBN-13
9783319265223

Description

Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based model-free pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities.

This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

Product Details

Authors:
Antonio MeleYoshiki Obayashi
Book Edition:
2015
Book Format:
Hardcover
Country of Origin:
NL
Date Published:
18 January 2016
Dimensions:
23.39 x 15.6 x 1.6 cm
ISBN-10:
3319265229
ISBN-13:
9783319265223
Language:
English
Location:
Cham
Pages:
250
Publisher:
Weight:
544.31 gm

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