About this book
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.
The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable channel of information, helping design signal generation and trading strategies, or, to mention another example, informing policy makers about how decisions and communication affect ongoing developments in fixed income volatility. More generally, this work will help inform the public about how uncertainty is perceived by key players in one of the most important segments in the whole capital market.
- Book Title The Price of Fixed Income Market Volatility
- Series Title Springer Finance
- Series Abbreviated Title Springer Finance
- DOI https://doi.org/10.1007/978-3-319-26523-0
- Copyright Information Springer International Publishing Switzerland 2015
- Publisher Name Springer, Cham
- eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
- Hardcover ISBN 978-3-319-26522-3
- Softcover ISBN 978-3-319-79967-4
- eBook ISBN 978-3-319-26523-0
- Series ISSN 1616-0533
- Series E-ISSN 2195-0687
- Edition Number 1
- Number of Pages XI, 250
- Number of Illustrations 7 b/w illustrations, 45 illustrations in colour
Macroeconomics/Monetary Economics//Financial Economics
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- Industry Sectors
- Finance, Business & Banking