Springer Finance

The Price of Fixed Income Market Volatility

Authors: Mele, Antonio, Obayashi, Yoshiki

  • The first systematic treatment of fixed income volatility pricing
  • Two indexes included here were already launched by the Chicago Board Options Exchange in 2012 & 2013
  • Gives applied researchers access to clear background needed before undertaking empirical research into relatively new areas
  • Provides theorists with foundations to the evaluation of new products referenced to forward-looking gauges of interest-rate volatility
  • Includes specially developed small examples to deal with delicate pricing details
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eBook 23,79 €
51,16 € (listprice)
price for Spain (gross)
valid through June 30, 2017
  • ISBN 978-3-319-26523-0
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 31,19 €
62,39 € (listprice)
price for Spain (gross)
valid through June 30, 2017
  • ISBN 978-3-319-26522-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

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.

About the authors

Antonio Mele holds a Senior Chair at the Swiss Finance Institute, and is a full Professor of Finance at the University of Lugano, after having been a tenured faculty at the London School of Economics & Political Science for a decade. He is also a Research Fellow for the Financial Economics program at the Centre for Economic Policy Research (CEPR) in London. He holds a PhD in Economics from the University of Paris.

His academic expertise spans a variety of fields in financial economics, pertaining to capital market volatility, interest rates and credit markets, macro-finance, capital markets and business cycles, and information in securities markets. His research has been published by top journals in Finance and Economics such as the Journal of Financial Economics, the Review of Economic Studies, the Review of Financial Studies, and the Journal of Monetary Economics.

His work outside academia includes developing fixed income volatility indexes for Chicago Board Options Exchange. He is the co-inventor of the CBOE Interest Rate Swap Volatility Index (CBOE-SRVX℠) - the first standardized volatility measure in the interest-rate swap market, designed to standardize and simplify swap-rate volatility trading much in the spirit of the CBOE-VIX® index in the equity market.

Yoshiki Obayashi is a managing director at Applied Academics LLC in New York, specialized in developing and commercializing ideas emanating from a growing think-tank of academic researchers selected for their work's relevance to practice in the finance industry. His most recent projects range from running systematic trading strategies for funds to developing fixed income volatility indexes for Chicago Board Options Exchange.

Yoshiki Obayashi previously managed US and Asian credit portfolios for a proprietary fixed-income trading group at an investment bank. He holds a PhD in Finance and Economics from Columbia Business School.

Table of contents (5 chapters)

  • Introduction

    Mele, Antonio (et al.)

    Pages 1-17

    Preview Buy Chapter 30,19 €
  • Variance Contracts: Fixed Income Security Design

    Mele, Antonio (et al.)

    Pages 19-58

    Preview Buy Chapter 30,19 €
  • Interest Rate Swaps

    Mele, Antonio (et al.)

    Pages 59-124

    Preview Buy Chapter 30,19 €
  • Government Bonds and Time-Deposits

    Mele, Antonio (et al.)

    Pages 125-209

    Preview Buy Chapter 30,19 €
  • Credit

    Mele, Antonio (et al.)

    Pages 211-245

    Preview Buy Chapter 30,19 €

Buy this book

eBook 23,79 €
51,16 € (listprice)
price for Spain (gross)
valid through June 30, 2017
  • ISBN 978-3-319-26523-0
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 31,19 €
62,39 € (listprice)
price for Spain (gross)
valid through June 30, 2017
  • ISBN 978-3-319-26522-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
The Price of Fixed Income Market Volatility
Authors
Series Title
Springer Finance
Copyright
2015
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-26523-0
DOI
10.1007/978-3-319-26523-0
Hardcover ISBN
978-3-319-26522-3
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XI, 250
Number of Illustrations and Tables
45 b/w illustrations, 7 illustrations in colour
Topics