The Price of Fixed Income Market Volatility
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...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2015, 2015
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| Edition: | 1st ed. 2015 |
| Series: | Springer Finance
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 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