Inflation markets
Valuing inflation futures contracts
In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price index (CPI) level at two different times) have been introduced. Working within the Jarrow & Yildirim (2003) model, John Crosby derives formulas for…
IPD: Launch failure for property sector derivatives
Growth is levelling off in the UK property derivatives market, with disappointingly few sector trades, according to figures released by the Investment Property Forum (IPF) in London today.
Home runs
real estate
The LDI makeover
For all the hype surrounding liability-driven investing, few UK pension funds have actually taken the plunge and implemented the technique. The London Pension Fund Authority is one notable exception. Nick Sawyer reports
Driven to distraction
Pension funds
Property derivatives growing, but pricing still difficult
The UK property derivatives market has crossed the £1 billion ($1.88 billion) notional mark, but pricing information shows that the market is still far from efficient, according to the London-based property think-tank, Investment Property Forum (IPF).
Hot property
Derivatives
Building commercial opportunities
Commercial property
Goldman Sachs launches first IPD product
Goldman Sachs has launched the first structured product based on the UK Investment Property Databank (IPD).
BGC launches property derivatives joint venture
Inter-dealer broker BGC has launched a property derivatives joint venture with Cushman & Wakefield, a US-based real estate group. The venture, called Cushman & Wakefield BGC, will provide strategic solutions and execution services across the European…
Inflating interest
Structured Products
Inflation Special Report
Introduction
One small step
Profile
Waiting for growth
Japan
Inflation-linked bonds catch on in Europe
Pension funds in the Netherlands are following the lead of their peers in the UK by using more inflation-linked products to achieve liability-driven investment. Alan McNee reports
Forget 'toes in the water' - how to win a pension's full 100%
highway insurance
Opting for LDI
Liability-driven investment
Inflation-indexed securities - Inflation with a smile
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 end, Fabio Mercurio and Nicola Moreni propose a…
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model
Inflating demand
Japan inflation-linked bonds