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The Price of Fixed Income Market Volatility (Hardcover, 1st ed. 2015)
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The Price of Fixed Income Market Volatility (Hardcover, 1st ed. 2015)
Series: Springer Finance
Expected to ship within 12 - 17 working days
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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.
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