Skip to main content

Asia Risk

Modelling inflation

Lars Kjaergaard models inflation using a three-factor Gaussian method. This gives a simple description of derivatives linked to inflation and interest rates, and allows for fast evaluation. He then shows how the model can be calibrated

Realised volatility and variance: options via swaps

Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps - or alternatively vanilla options - as pricing benchmarks and hedging instruments…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here