Inflation markets
Crossing the floor
The inflation market has experienced a severe dislocation, with breakevens plunging during October and November. It has left dealers scrambling to hedge their exposures to 0% floors embedded in structured notes. By Duncan Wood
Rounding off a difficult year
Sponsored Statement
More is less
Inflation
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed…
Slowing inflation weakens structured note demand, Barclays Capital
Falls in the price of oil have weakened demand for inflation-linked structured notes, says Benoit Chiqrui, director of inflation trading at Barclays Capital in London. The recent US$40 fall in prices has caused inflation worries to fade along with demand…
Ups and downs
Inflation
The price is right for inflation
Inflation is rarely out of the headlines these days, whether it is soaring petrol or gas prices, or the price of staple foods such as bread and rice. And this daily flow of news has heightened awareness among retail and high-net-worth investors of the…
Inflation is normal
Chris Kenyon introduces normal-based smile models for year-on-year inflation motivated by the observation that market lognormal caplet volatilities of less than 1% imply normality for maturities of up to 30 years. He is also motivated by the range of…
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed…
Slowing economy hits inflation markets
Poor economic prospects and falling commodity prices have changed the face of inflation markets around the world, easing the shortages that constricted them earlier this year.
Inflated or deflated?
Inflation trading
The simple life
Structured products
New fixing for the Livret A - More demand, more imbalances, more opportunities
Sponsored Statement
Inflation is normal
Chris Kenyon introduces normal-based smile models for year-on-year inflation motivated by the observation that market lognormal caplet volatilities of less than 1% imply normality for maturities of up to 30 years. He is also motivated by the range of…
UK issuers unveil inflation-busters
Barclays has reissued its Commodity Select protected investment, targeting UK investors looking for an inflation hedge. The re-issue follows consistent rises in the Consumer Price Index (CPI), the annual inflation of which rose 0.3% between April and May…
The great property price panacea
Property Derivatives
An inflated Risk
Dutch Pensions
Accidental heroes
IPD has grown to become the main index provider for property derivatives. The company's story points to some of the obstacles facing this developing market, writes Rob Mannix