| 書目名稱 | The Price of Fixed Income Market Volatility |
| 編輯 | Antonio Mele,Yoshiki Obayashi |
| 視頻video | http://file.papertrans.cn/918/917597/917597.mp4 |
| 概述 | The first systematic treatment of fixed income volatility pricing.Two indexes included here were already launched by the Chicago Board Options Exchange in 2012 & 2013.Gives applied researchers access |
| 叢書名稱 | Springer Finance |
| 圖書封面 |  |
| 描述 | .Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature. While the methodology for options-based "model-free" pricingof equity volatility has been known for some time, little is known aboutanalogous methodologies for pricing various fixed income volatilities...This book fills this gap and provides aunified evaluation framework of fixed income volatility while dealing withdisparate markets such as interest-rate swaps, government bonds, time-depositsand credit. It develops model-free, forward looking indexes of fixed-incomevolatility that match different quoting conventions across various markets, anduncovers subtle yet important pitfalls arising from na?ve superimpositions ofthe standard equity volatility methodology when pricing various fixed incomevolatilities.. |
| 出版日期 | Book 2015 |
| 關鍵詞 | interest rate derivatives and volatility; model-free forward looking gauges of fixed income volatilit |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-319-26523-0 |
| isbn_softcover | 978-3-319-79967-4 |
| isbn_ebook | 978-3-319-26523-0Series ISSN 1616-0533 Series E-ISSN 2195-0687 |
| issn_series | 1616-0533 |
| copyright | Springer International Publishing Switzerland 2015 |
|Archiver|手機版|小黑屋|
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