Holdings: The price of fixed income market volatility

The price of fixed income market volatility:

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Bibliographic Details
Main Authors:	Mele, Antonio (Author), Obayashi, Yoshiki (Author)
Format:	Electronic eBook
Language:	English
Published:	Cham Springer [2015]
Series:	Springer finance
Subjects:	Mathematics Finance Economics, Mathematical Macroeconomics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance, general Mathematik
Online Access:	BTU01 FRO01 TUM01 UBM01 UBT01 UBW01 UPA01 Volltext Abstract Inhaltsverzeichnis
Physical Description:	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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MARC


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Record in the Search Index

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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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author	Mele, Antonio Obayashi, Yoshiki
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discipline	Mathematik
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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
url	https://doi.org/10.1007/978-3-319-26523-0 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 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
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