The Price of Fixed Income Market Volatility (Hardcover, 1st ed. 2015)

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 naive superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Springer Finance
Release date:	2016
First published:	2015
Authors:	Antonio Mele • Yoshiki Obayashi
Dimensions:	235 x 155 x 21mm (L x W x T)
Format:	Hardcover
Pages:	250
Edition:	1st ed. 2015
ISBN-13:	978-3-319-26522-3
Categories:	Books > Business & Economics > Economics > Macroeconomics > General Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General Promotions
LSN:	3-319-26522-9
Barcode:	9783319265223

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