Inflation-linked products
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…
Inflated or deflated?
Inflation trading
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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…
Valuing Tips bond futures with the Jarrow-Yildirim model
Hongming Huang and Yildiray Yildirim apply the Jarrow-Yildirim model to derive a closed-form solution for Treasury inflation-protected securities (Tips) futures. With the issuance of inflation-protected bonds and the impact of inflation on financial…
Supply-side economics
Pensions
Real growth
Inflation
Inflation Derivatives House of the Year - Royal Bank of Scotland
Risk Awards 2008
Sovereign Risk Manager of the Year - Agence France Trésor
Risk Awards 2008
BarCap aims swap indexes at LDI market
Barclays Capital has launched indexes of nominal and inflation swaps, aimed at pension managers following liability-driven investment (LDI) strategies.
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…
Specialist inflation funds proliferate in Europe
European funds specialising in inflation-linked products accounted for around 30% of all inflation-linked product end-users during 2004, according to ABN Amro.