The Price of Fixed Income Market Volatility
The Price of Fixed Income Market Volatility
Springer | Quantitative Finance | January 15, 2016 | ISBN-10: 3319265229 | 215 pages | pdf | 3.57 mb
Springer | Quantitative Finance | January 15, 2016 | ISBN-10: 3319265229 | 215 pages | pdf | 3.57 mb
Authors: Mele, Antonio, Obayashi, Yoshiki
The first systematic treatment of fixed income volatility pricing
Two indexes included here were already launched by the Chicago Board Options Exchange in 2012 & 2013
Gives applied researchers access to clear background needed before undertaking empirical research into relatively new areas
Provides theorists with foundations to the evaluation of new products referenced to forward-looking gauges of interest-rate volatility
Includes specially developed small examples to deal with delicate pricing details
About this book
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.
Number of Illustrations and Tables
45 illus., 7 in colour
Topics
Quantitative Finance
Macroeconomics/Monetary Economics//Financial Economics
Finance, general
More info and Hardcover at Springer
Purchase a Premium account to Donate & Support :)
More Science Books …Visit my Blog :)