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 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.

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 naïve superimpositions of
the standard equity volatility methodology when pricing various fixed income
volatilities.