Inflation

Crowd busting

The financial crisis revealed most dealers had near-identical exposures in exotic derivatives markets – whether in credit, interest rates, equity or inflation – leaving them unable to exit or hedge their positions when markets tanked. How have traders…

Targeting inflation

Inflation expectations might be all over the place, but that has not stopped dealers trying to sell inflation-linked structured products. John Ferry looks at what is on offer from an asset class that has always been trickier than others for structured…

A steadier ship

Cautious optimism pervaded the fourth annual Structured Products Americas conference, held in May at the Biltmore Hotel in Coral Gables in Miami. Speakers and panellists seemed happy to reacquaint themselves with terms such as volatility, correlation and…

Breakevens echo US government's deflation fears

Despite concerns that economic stimulus efforts in the US could pump up the country's money supply, the bond market, like the Treasury's Federal Open Markets Committee (FOMC), still regards deflation as the main concern in the short term.

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…

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