The Price of Fixed Income Market Volatility

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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Mele, Antonio (Author), Obayashi, Yoshiki (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
Edition:1st ed. 2015.
Series:Springer Finance,
Subjects:
Social sciences > Mathematics.
Macroeconomics.
Finance.
Mathematics in Business, Economics and Finance.
Macroeconomics and Monetary Economics.
Financial Economics.
Online Access:Texto Completo
Table of Contents:
  • Preface
  • Introduction
  • Variance contracts: fixed income security design
  • Appendix on security design and volatility indexing
  • Interest rate swaps
  • Appendix on interest rate swapmarkets
  • Government bonds and time-deposits
  • Appendix on government bonds and time depositmarkets
  • Credit
  • Appendix on credit markets
  • References.

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