購物比價 | 找書網 | 找車網 |
FindBook |
|
有 1 項符合
Yoshiki Obayashi的圖書 |
$ 1801 電子書 | The Price of Fixed Income Market Volatility
作者:Antonio Mele,Yoshiki Obayashi 出版社:Springer International Publishing 出版日期:2016-01-11 語言:英文 樂天KOBO - 金融與投資 - 來源網頁   看圖書介紹 |
|
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.
|