Inflation
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...
Hedging assets sought to combat escalating risk of interest rate and inflation spike
You know when it's after the event, because all the talk is of buy low, sell high as the fear about whether or not the moment of investment truth has been missed. You are not hearing that yet, so that...
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More Inflation articles
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 Xavier Charvet propose a simple framework for pricing...
Bank of Japan derivatives purchases threaten already low equity ratio
The BoJ's latest inflation targeting weapon could challenge its balance sheet strength
Elkhorn Fund: Sanborn Kilcollin Partners
Robert Sanborn, portfolio manager at Sanborn Kilcollin Partners, is critical of policymakers propping up markets with stimulus spending and low interest rates
Yen threatened by Japan insurers unwinding dollar/yen hedging positions...
While foreign hedge funds have been driving down the value of the yen, now Japan insurers may strengthen the trend
BoJ target leaves Japan inflation swap market unmoved
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
Huge RPI swaps move catches market flat-footed
Some dealers said to have suffered losses after surprise decision to leave RPI methodology unchanged
Corporate risk manager of the year: Heathrow Limited
Corporate issuers of inflation-linked bonds have had to deal with a double whammy in the post-crisis years. First, the death of monoline-wrapped issuance slashed demand for their debt. Then, when companies turned to the inflation swap market instead,...
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