The Price Of Fixed Income Market Volatility

March 30, 2018|
The Price Of Fixed Income Market Volatility by Antonio Mele
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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.

Antonio Mele holds a Senior Chair at the Swiss Finance Institute, and is a full Professor of Finance at the University of Lugano, after having been a tenured faculty at the London School of Economics & Political Science for a decade. He is also a Research Fellow for the Financial Economics program at the Centre for Economic Policy ...
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Title:The Price Of Fixed Income Market Volatility
Format:Paperback
Product dimensions:250 pages, 9.25 X 6.1 X 0 in
Shipping dimensions:250 pages, 9.25 X 6.1 X 0 in
Published:March 30, 2018
Publisher:Springer Nature
Language:English
Appropriate for ages:All ages
ISBN - 13:9783319799674

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