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The price of fixed income market volatility
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...
| Autores principales: | , |
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| Lenguaje: | eng |
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Springer
2015
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-26523-0 http://cds.cern.ch/record/2128113 |