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Events

Event: IAFE /Thalesians Seminar Series
Date: Monday, October 14, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
Location:
NYU Kimmel Center
Room 914
60 Washington Square South
New York, NY 10012

The International Association of Financial Engineers is pleased to invite you to

IAFE /Thalesians Seminar Series:
The Price of Fixed Income Market Volatility
A Talk by Antonio Mele

 

ABSTRACT
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 for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as 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 naive superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. Some of the interest rate volatility indexes in this book are currently being implemented by the Chicago Board Options Exchange as the interest rate volatility counterparts to the widely known VIX index of equity market volatility.

BIOGRAPHY
Antonio Mele holds a Senior Chair at the Swiss Finance Institute, and a full professorship in Finance at the University of Lugano sponsored by the Ticino Bankers Association, 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.

Professor Mele’s academic expertise spans a variety of fields in financial economics, pertaining to capital market volatility, interest rates and credit markets, macrofinance, 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.

Professor Mele’s research and expertise have spillovers outside academia. He is the founder of QUASaR, a Swiss-based firm specialized in security design and support to investment decision making, and he is the co-inventor of the CBOE Interest Rate Swap Volatility Index (CBOE-SRVXSM), 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.

ABOUT THE SERIES
The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE (www.iafe.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAFE/Thalesian Seminar Series.

 

View Antonio Mele’s presentation here.


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