The Price of Fixed Income Market Volatility (Springer Finance)

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.