The Price of Fixed Income Market Volatility is popular PDF and ePub book, written by Antonio Mele in 2016-01-11, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, The Price of Fixed Income Market Volatility can be Read Online from any device for your convenience.
The Price of Fixed Income Market Volatility Book PDF Summary
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.
Detail Book of The Price of Fixed Income Market Volatility PDF
- Author : Antonio Mele
- Release : 11 January 2016
- Publisher : Springer
- ISBN : 9783319265230
- Genre : Mathematics
- Total Page : 250 pages
- Language : English
- PDF File Size : 15,7 Mb
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