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The Price of Fixed Income Market Volatility

The Price of Fixed Income Market Volatility

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  • ISBN:9783319265223
  • Editorial: Springer Verlag
  • Fecha de la edición:
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  • Nº Pág.:250
  • Idiomas:Ingles,Inglés

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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 naive superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.

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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