The Price of Fixed Income Market Volatility

Antonio Mele holds a Senior Chair at the Swiss Finance Institute, and is a full Professor of Finance at the University of Lugano, after having been a tenured faculty at the London School of Economics & Political Science for a decade. He is also a Research Fellow for the Financial Economics program at the Centre for Economic Policy Research (CEPR) in London. He holds a PhD in Economics from the University of Paris. His academic expertise spans a variety of fields in financial economics, pertaining to capital market volatility, interest rates and credit markets, macro-finance, capital markets and business cycles, and information in securities markets. His research has been published by top journals in Finance and Economics such as the Journal of Financial Economics, the Review of Economic Studies, the Review of Financial Studies, and the Journal of Monetary Economics. His work outside academia includes developing fixed income volatility indexes for Chicago Board Options Exchange. He is the co-inventor of the CBOE Interest Rate Swap Volatility Index (CBOE-SRVX_) - the first standardized volatility measure in the interest-rate swap market, designed to standardize and simplify swap-rate volatility trading much in the spirit of the CBOE-VIX® index in the equity market. Yoshiki Obayashi is a managing director at Applied Academics LLC in New York, specialized in developing and commercializing ideas emanating from a growing think-tank of academic researchers selected for their work's relevance to practice in the finance industry. His most recent projects range from running systematic trading strategies for funds to developing fixed income volatility indexes for Chicago Board Options Exchange. Yoshiki Obayashi previously managed US and Asian credit portfolios for a proprietary fixed-income trading group at an investment bank. He holds a PhD in Finance and Economics from Columbia Business School.

Preface.- Introduction.-Variance contracts: fixed income security design.- Appendix on security designand volatility indexing.- Interest rate swaps.- Appendix on interest rateswapmarkets.- Government bonds and time-deposits.- Appendix on government bondsand time depositmarkets.- Credit.- Appendix on credit markets.- References.