The Price of Fixed Income Market Volatility〈1st ed. 2015〉

著者名：Mele, Antonio/Obayashi, Yoshiki

Springer（2016/01/11発売）

• 言語：ENG
• ISBN：9783319265223
• eISBN：9783319265230

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.

Table of Contents

Preface.- Introduction.-Variance contracts: fixed income security design.- Appendix on security designand volatility indexing.- Interest rate swaps.- Appendix on interest rateswapmarkets.- Government bonds and time-deposits.- Appendix on government bondsand time depositmarkets.- Credit.- Appendix on credit markets.- References.