The Price of Fixed Income Market Volatility PDF
by Antonio Mele, Yoshiki Obayashi
Part of the Springer Finance series
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Description
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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- Format:PDF
- Publisher:Springer International Publishing
- Publication Date:11/01/2016
- Category:
- ISBN:9783319265230
Other Formats
- Paperback / softback from £22.00
Information
-
Download Now
- Format:PDF
- Publisher:Springer International Publishing
- Publication Date:11/01/2016
- Category:
- ISBN:9783319265230
