LEADER 03944nam 22006735 450 001 9910300251503321 005 20230810185042.0 010 $a3-319-26523-7 024 7 $a10.1007/978-3-319-26523-0 035 $a(CKB)3710000000580384 035 $a(EBL)4333603 035 $a(SSID)ssj0001607061 035 $a(PQKBManifestationID)16317145 035 $a(PQKBTitleCode)TC0001607061 035 $a(PQKBWorkID)14897343 035 $a(PQKB)10669096 035 $a(DE-He213)978-3-319-26523-0 035 $a(MiAaPQ)EBC4333603 035 $a(PPN)191705888 035 $a(EXLCZ)993710000000580384 100 $a20160111d2015 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe Price of Fixed Income Market Volatility /$fby Antonio Mele, Yoshiki Obayashi 205 $a1st ed. 2015. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2015. 215 $a1 online resource (259 p.) 225 1 $aSpringer Finance,$x2195-0687 300 $aDescription based upon print version of record. 311 $a3-319-26522-9 320 $aIncludes bibliographical references. 327 $aPreface -- 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. 330 $aFixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable channel of information, helping design signal generation and trading strategies, or, to mention another example, informing policy makers about how decisions and communication affect ongoing developments in fixed income volatility. More generally, this work will help inform the public about how uncertainty is perceived by key players in one of the most important segments in the whole capital market. 410 0$aSpringer Finance,$x2195-0687 606 $aSocial sciences$xMathematics 606 $aMacroeconomics 606 $aFinance 606 $aMathematics in Business, Economics and Finance 606 $aMacroeconomics and Monetary Economics 606 $aFinancial Economics 615 0$aSocial sciences$xMathematics. 615 0$aMacroeconomics. 615 0$aFinance. 615 14$aMathematics in Business, Economics and Finance. 615 24$aMacroeconomics and Monetary Economics. 615 24$aFinancial Economics. 676 $a332.632044 700 $aMele$b Antonio$4aut$4http://id.loc.gov/vocabulary/relators/aut$017392 702 $aObayashi$b Yoshiki$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910300251503321 996 $aThe Price of Fixed Income Market Volatility$92533502 997 $aUNINA