Textbook: The price of fixed income market volatility

January 26, 2016
Antonio Mele
Yoshiki Obayashi

This book provides a unified evaluation framework of fixed income volatility for 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.