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
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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.

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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 naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

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