In the current inflation-indexed markets, most traded options have zero or even negative strikes. This highlights the need for a smile-consistent valuation of caps and floors on inflation rates. To ...
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Inflation derivatives articles
Outsized inflation swap trades by pension funds may be causing imbalances in what is a relatively thin market
ABN Amro has completed a property derivatives deal based in part on the Investment Property Databank (IPD) UK retail index, in what it claims is the first to be based on a specific sector of the mar...
Barclays Capital and Protego have arranged a property index certificate sale worth £8 million, the first significant secondary market deal in the nascent property derivatives sector.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.