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.
Read alsoThe Village Bike
Isn't she gorgeous? Hardly been ridden. She's been in the garage just gathering dust.Becky's pregnant and frustrated. But her husband is more interested in the baby manual than her new underwear, so she turns to the porn stash under the bed. As the summer heats up, a brief encounter sends her speeding downhill towards…
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.