The Price of Fixed Income Market Volatility
Springer International Publishing (Verlag)
978-3-319-26522-3 (ISBN)
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.
Antonio Mele holds a Senior Chair at the Swiss Finance Institute, and is a full Professor of Finance at the University of Lugano, after having been a tenured faculty at the London School of Economics & Political Science for a decade. He is also a Research Fellow for the Financial Economics program at the Centre for Economic Policy Research (CEPR) in London. He holds a PhD in Economics from the University of Paris.His academic expertise spans a variety of fields in financial economics, pertaining to capital market volatility, interest rates and credit markets, macro-finance, capital markets and business cycles, and information in securities markets. His research has been published by top journals in Finance and Economics such as the Journal of Financial Economics, the Review of Economic Studies, the Review of Financial Studies, and the Journal of Monetary Economics.His work outside academia includes developing fixed income volatility indexes for Chicago Board Options Exchange. He is the co-inventor of the CBOE Interest Rate Swap Volatility Index (CBOE-SRVX℠) - the first standardized volatility measure in the interest-rate swap market, designed to standardize and simplify swap-rate volatility trading much in the spirit of the CBOE-VIX® index in the equity market.Yoshiki Obayashi is a managing director at Applied Academics LLC in New York, specialized in developing and commercializing ideas emanating from a growing think-tank of academic researchers selected for their work's relevance to practice in the finance industry. His most recent projects range from running systematic trading strategies for funds to developing fixed income volatility indexes for Chicago Board Options Exchange. Yoshiki Obayashi previously managed US and Asian credit portfolios for a proprietary fixed-income trading group at an investment bank. He holds a PhD in Finance and Economics from Columbia Business School.
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.
| Erscheinungsdatum | 16.01.2016 |
|---|---|
| Reihe/Serie | Springer Finance |
| Zusatzinfo | XI, 250 p. 52 illus., 45 illus. in color. |
| Verlagsort | Cham |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft | |
| Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie | |
| Schlagworte | Finance/Investment/Banking • fixed-income market risk-adjsutements • interest rate derivatives and volatility • interest rate variance swaps • Macroeconomics/Monetary Economics//Financial Econo • mathematics and statistics • model-free forward looking gauges of fixed income • model-free forward looking gauges of fixed income volatility • Quantitative Finance • Volatility Trading |
| ISBN-10 | 3-319-26522-9 / 3319265229 |
| ISBN-13 | 978-3-319-26522-3 / 9783319265223 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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