The price of fixed income market volatility
著者
書誌事項
The price of fixed income market volatility
（Springer finance）
Springer, c2015
大学図書館所蔵 件 / 全3件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references (p. 247-250)
内容説明・目次
内容説明
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 naive superimpositions of
the standard equity volatility methodology when pricing various fixed income
volatilities.
目次
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.
「Nielsen BookData」 より
