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Inflation

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…

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…

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

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

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

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