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The Price of Fixed Income Market Volatility

The Price of Fixed Income Market Volatility

Antonio Mele / Yoshiki Obayashi

99,29 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2018
Materia
Finanzas
ISBN:
9783319799674
99,29 €
IVA incluido
Disponible

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Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature. While the methodology for options-based 'model-free' pricingof equity volatility has been known for some time, little is known aboutanalogous methodologies for pricing various fixed income volatilities.This book fills this gap and provides aunified evaluation framework of fixed income volatility while dealing withdisparate markets such as interest-rate swaps, government bonds, time-depositsand credit. It develops model-free, forward looking indexes of fixed-incomevolatility that match different quoting conventions across various markets, anduncovers subtle yet important pitfalls arising from naïve superimpositions ofthe standard equity volatility methodology when pricing various fixed incomevolatilities.

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Otros libros del autor

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    Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature. While the methodology for options-based 'model-free' pricingof equity volatility has been known for some time, little is known aboutanalogous methodologies for pricing various fixed income ...
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  • The Price of Fixed Income Market Volatility
    Antonio Mele / Yoshiki Obayashi
    Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature. While the methodology for options-based 'model-free' pricingof equity volatility has been known for some time, little is known aboutanalogous methodologies for pricing various fixed income ...