The price of fixed income market volatility

DOI10.1007/978-3-319-26523-0zbMATH Open1329.91004OpenAlexW2345417663MaRDI QIDQ896050FDOQ896050

Authors: Antonio Mele, Yoshiki Obayashi 

Publication date: 11 December 2015

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-26523-0

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (7)

• A tutorial on zero volatility and option adjusted spreads
• Market implied volatilities for defaultable bonds
• Cross-section without factors: a string model for expected returns
• Fixed income securities: Tools for today's markets
• Statistical analysis of fixed income market
• Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
• Bond markets with stochastic volatility

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