The inflation pricing conundrum

matthew-lightwood

Inflation has long proved difficult from a pricing and analytics perspective. While their cousins in the more developed bond and interest rate derivatives markets can boast a sophisticated array of models, inflation traders have faced a number of distinctive challenges.

For a start, inflation products possess a variety of unique characteristics that have to be considered, while the market is far less liquid than nominal bonds and interest rate swaps. This means existing interest rate tools canno

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