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.