9783319799674 - The Price of Fixed Income Market Volatility (Springer Finance) von Mele, Antonio; Obayashi, Yoshiki (4 Ergebnisse)

Zustand: New.

Taschenbuch. Zustand: Neu. Neuware -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 naïve superimpositions ofthe standard equity volatility methodology when pricing various fixed incomevolatilities.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 264 pp. Englisch.

Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 naïve superimpositions ofthe standard equity volatility methodology when pricing various fixed incomevolatilities.

Taschenbuch. Zustand: Neu. The Price of Fixed Income Market Volatility | Antonio Mele (u. a.) | Taschenbuch | Springer Finance | xi | Englisch | 2018 | Springer | EAN 9783319799674 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.