Inflation derivatives
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and...
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and...
Doubling Japan's inflation target has been viewed as a big deal internationally but players on the ground say the impact on the domestic inflation market has been limited
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More Inflation derivatives articles
Sponsored forum: US inflation derivatives
US inflation markets have been through some major events in 2012, including the launch of open-ended quantitative easing and knock-on effects from the forced unwind of Greek asset swaps. Against a backdrop of continued economic uncertainty, a raft of...
Huge RPI swaps move catches market flat-footed
Some dealers said to have suffered losses after surprise decision to leave RPI methodology unchanged
Sponsored statement: IBM
Mark-to-future simulations, enriched with market calibration against interest rates and with inflation adjustment of portfolio returns, add value to long-term investment decision-making by embedding the time value of money into investors’ preferences...
Lack of inflation clearing could hit LDI community
Offsets in liability-driven investment portfolios would be eliminated if firms choose to clear interest rate hedges – potentially forcing them away from inflation swaps. By Nick Sawyer
Quadratic Gaussian inflation
Quadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here, Manlio Trovato, Diana Ribeiro and Hringur Gretarsson extend the approach to inflation, and show that realistic smile and convexity...
Quadratic Gaussian inflation
Quadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here, Manlio Trovato, Diana Ribeiro and Hringur Gretarsson extend the approach to inflation, and show that realistic smile and convexity...
Risk 25 firms of the future: Newedge
It's not easy for participants in today’s markets to predict the future – but, for Newedge, there is an added complication. The firm is jointly owned by Société Générale and the investment banking arm of Crédit Agricole, and there has been speculation...
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