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The Price of Fixed Income Market Volatility

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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.

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Detail Information

Series Title

Springer Finance

Call Number

-

Publisher

Springer Cham : Springer Cham., 2016

Collation

XI, 250

Language

English

ISBN/ISSN

978-3-319-26523-0

Classification

NONE

Content Type

text

Media Type

computer

Carrier Type

-

Edition

-

Subject(s)

Financial Economics

Specific Detail Info

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Statement of Responsibility

Antonio Mele, Yoshiki Obayashi

Other Information

Cataloger

Jemadi

Source

https://link.springer.com/content/pdf/10.1007/978-3-319-26523-0.pdf?pdf=button

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