The Price of Fixed Income Market Volatility

• Κύριοι συγγραφείς: Mele, Antonio (Συγγραφέας), Obayashi, Yoshiki (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Σειρά: Springer Finance,
• Θέματα: Mathematics.; Finance.; Economics, Mathematical.; Macroeconomics.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Finance, general.

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...

Πίνακας περιεχομένων:

• 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.