The Price of Fixed Income Market Volatility

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

Antonio Mele holds a SeniorChair at the Swiss Finance Institute, and is a full Professor of Finance at theUniversity of Lugano, after having been a tenured faculty at the London Schoolof Economics & Political Science for a decade. He is also a Research Fellowfor 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 avariety of fields in financial economics, pertaining to capital marketvolatility, interest rates and credit markets, macro-finance, capital marketsand business cycles, and information in securities markets. His research hasbeen published by top journals in Finance and Economics such as the Journalof Financial Economics, the Review of Economic Studies,the Review of Financial Studies, and the Journal ofMonetary Economics.

His work outside academiaincludes developingfixed income volatility indexes for Chicago Board OptionsExchange. He is the co-inventor of the CBOE Interest Rate Swap Volatility Index(CBOE-SRVX ) - the first standardized volatility measure in theinterest-rate swap market, designed to standardize and simplify swap-ratevolatility trading much in the spirit of the CBOE-VIX® index in the equity market.

YoshikiObayashi is a managing director at Applied Academics LLC in New York,specialized in developing and commercializing ideas emanating from a growingthink-tank of academic researchers selected for their work's relevance topractice in the finance industry. His most recent projects range from runningsystematic trading strategies for funds to developing fixed income volatilityindexes for Chicago Board Options Exchange.



Yoshiki Obayashi previouslymanaged US and Asian credit portfolios for a proprietary fixed-income tradinggroup at an investment bank. He holds a PhD in Finance and Economics fromColumbia Business School.