The price of fixed income market volatility:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2015]
|
| Schriftenreihe: | Springer finance
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FRO01 TUM01 UBM01 UBT01 UBW01 UPA01 Volltext Abstract Inhaltsverzeichnis |
| Beschreibung: | 1 Online Ressource (XI, 250 Seiten, 52 illus., 7 illus. in color) |
| ISBN: | 9783319265230 |
| ISSN: | 1616-0533 |
| DOI: | 10.1007/978-3-319-26523-0 |
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Datensatz im Suchindex
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| adam_text | THE PRICE OF FIXED INCOME MARKET VOLATILITY
/ MELE, ANTONIO
: 2015
ABSTRACT / INHALTSTEXT
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. 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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
THE PRICE OF FIXED INCOME MARKET VOLATILITY
/ MELE, ANTONIO
: 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-319-26523-0 |
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| indexdate | 2024-07-10T07:25:10Z |
| institution | BVB |
| isbn | 9783319265230 |
| issn | 1616-0533 |
| language | English |
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| publishDate | 2015 |
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| series2 | Springer finance |
| spelling | Mele, Antonio Verfasser aut The price of fixed income market volatility Antonio Mele, Yoshiki Obayashi Cham Springer [2015] © 2015 1 Online Ressource (XI, 250 Seiten, 52 illus., 7 illus. in color) txt rdacontent c rdamedia cr rdacarrier Springer finance 1616-0533 Mathematics Finance Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance, general Mathematik Obayashi, Yoshiki Verfasser aut Erscheint auch als Druckausgabe 978-3-319-26522-3 https://doi.org/10.1007/978-3-319-26523-0 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028827008&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Abstract Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028827008&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mele, Antonio Obayashi, Yoshiki The price of fixed income market volatility Mathematics Finance Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance, general Mathematik |
| title | The price of fixed income market volatility |
| title_auth | The price of fixed income market volatility |
| title_exact_search | The price of fixed income market volatility |
| title_full | The price of fixed income market volatility Antonio Mele, Yoshiki Obayashi |
| title_fullStr | The price of fixed income market volatility Antonio Mele, Yoshiki Obayashi |
| title_full_unstemmed | The price of fixed income market volatility Antonio Mele, Yoshiki Obayashi |
| title_short | The price of fixed income market volatility |
| title_sort | the price of fixed income market volatility |
| topic | Mathematics Finance Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance, general Mathematik |
| topic_facet | Mathematics Finance Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance, general Mathematik |
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