The Price of Fixed Income Market Volatility (Springer Finance) - Image 1

£41.02

Springer The Price of Fixed Income Market Volatility (Springer Finance)

Name: The Price of Fixed Income Market Volatility (Springer Finance)
Brand: Springer
Price: 31.8 GBP
Availability: InStock

Macroeconomics

Price History & Forecast

Last 90 days • 90 data points

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Price Distribution

Price distribution over 90 days • 10 price levels

Days at Price

Current Price

Price Analysis

Most common price: £33 (17 days, 18.9%)

Price range: £31 - £42

Price levels: 10 different prices over 90 days

Description

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.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 3319799673
Category: Books > Subjects > Business, Finance & Law > Economics > Macroeconomics
Domain: Amazon UK
Release Date: 30 March 2018
Listed Since: 30 March 2018

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Springer The Price of Fixed Income Market Volatility (Springer Finance)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

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