The Price of Fixed Income Market Volatility

By Yoshiki Obayashi and Antonio Mele

Book Overview

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 na?ve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

• Format: Paperback
• Language: English
• ISBN: 3319799673
• ISBN13: 9783319799674
• Release Date: March 2018
• Publisher: Springer
• Length: 250 Pages
• Weight: 0.82 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"