Rational Models for Inflation-Linked Derivatives

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Rational Models for Inflation-Linked Derivatives. / Dam, Henrik; Macrina, Andrea; Skovmand, David; Sloth, David.

I: arXiv.org, 2019.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskning

Harvard

Dam, H, Macrina, A, Skovmand, D & Sloth, D 2019, 'Rational Models for Inflation-Linked Derivatives' arXiv.org.

APA

Dam, H., Macrina, A., Skovmand, D., & Sloth, D. (2019). Rational Models for Inflation-Linked Derivatives. Manuskript afsendt til publicering.

Vancouver

Dam H, Macrina A, Skovmand D, Sloth D. Rational Models for Inflation-Linked Derivatives. arXiv.org. 2019.

Author

Dam, Henrik ; Macrina, Andrea ; Skovmand, David ; Sloth, David. / Rational Models for Inflation-Linked Derivatives. I: arXiv.org. 2019.

Bibtex

@article{7f85e25abdcf47fb96e91c15f26f6b15,
title = "Rational Models for Inflation-Linked Derivatives",
abstract = "We construct models for the pricing and risk management of inflation-linked derivatives. The model is rational in the sense that affine payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that allows for closed-form pricing of vanilla inflation products suchlike zero-coupon swaps, caps and floors, year-on-year swaps, caps and floors, and the exotic limited price index swap. The model retains the attractive features of a nominal multi-curve interest rate model such as closed-form pricing of nominal swaptions. We conclude with examples of how the model can be calibrated to EUR data.",
keywords = "q-fin.PR, q-fin.MF",
author = "Henrik Dam and Andrea Macrina and David Skovmand and David Sloth",
year = "2019",
language = "English",
journal = "arXiv.org",

}

RIS

TY - JOUR

T1 - Rational Models for Inflation-Linked Derivatives

AU - Dam, Henrik

AU - Macrina, Andrea

AU - Skovmand, David

AU - Sloth, David

PY - 2019

Y1 - 2019

N2 - We construct models for the pricing and risk management of inflation-linked derivatives. The model is rational in the sense that affine payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that allows for closed-form pricing of vanilla inflation products suchlike zero-coupon swaps, caps and floors, year-on-year swaps, caps and floors, and the exotic limited price index swap. The model retains the attractive features of a nominal multi-curve interest rate model such as closed-form pricing of nominal swaptions. We conclude with examples of how the model can be calibrated to EUR data.

AB - We construct models for the pricing and risk management of inflation-linked derivatives. The model is rational in the sense that affine payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that allows for closed-form pricing of vanilla inflation products suchlike zero-coupon swaps, caps and floors, year-on-year swaps, caps and floors, and the exotic limited price index swap. The model retains the attractive features of a nominal multi-curve interest rate model such as closed-form pricing of nominal swaptions. We conclude with examples of how the model can be calibrated to EUR data.

KW - q-fin.PR

KW - q-fin.MF

M3 - Journal article

JO - arXiv.org

JF - arXiv.org

ER -

ID: 188905464