The Price of Fixed Income Market Volatility

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Economics, Macroeconomics
Cover of the book The Price of Fixed Income Market Volatility by Antonio Mele, Yoshiki Obayashi, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Antonio Mele, Yoshiki Obayashi ISBN: 9783319265230
Publisher: Springer International Publishing Publication: January 11, 2016
Imprint: Springer Language: English
Author: Antonio Mele, Yoshiki Obayashi
ISBN: 9783319265230
Publisher: Springer International Publishing
Publication: January 11, 2016
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book microRNA: Medical Evidence by Antonio Mele, Yoshiki Obayashi
Cover of the book Separation Logic for High-level Synthesis by Antonio Mele, Yoshiki Obayashi
Cover of the book The Life Story of an Infrared Telescope by Antonio Mele, Yoshiki Obayashi
Cover of the book Uncertain Rule-Based Fuzzy Systems by Antonio Mele, Yoshiki Obayashi
Cover of the book Introduction to Linear Elasticity by Antonio Mele, Yoshiki Obayashi
Cover of the book The Cultural Life of Capitalism in Yugoslavia by Antonio Mele, Yoshiki Obayashi
Cover of the book The Sociology of Compromise after Conflict by Antonio Mele, Yoshiki Obayashi
Cover of the book Advances in Nature and Biologically Inspired Computing by Antonio Mele, Yoshiki Obayashi
Cover of the book Comprehensive Guide to Neurosurgical Conditions by Antonio Mele, Yoshiki Obayashi
Cover of the book Energy Efficiency Clauses in Charter Party Agreements by Antonio Mele, Yoshiki Obayashi
Cover of the book Nonlinear Stochastic Systems with Network-Induced Phenomena by Antonio Mele, Yoshiki Obayashi
Cover of the book Puberty by Antonio Mele, Yoshiki Obayashi
Cover of the book Therapeutic Intranasal Delivery for Stroke and Neurological Disorders by Antonio Mele, Yoshiki Obayashi
Cover of the book Churches, Temples, and Financial Crimes by Antonio Mele, Yoshiki Obayashi
Cover of the book Ordinary Differential Equations and Mechanical Systems by Antonio Mele, Yoshiki Obayashi
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy