Matches in SemOpenAlex for { <https://semopenalex.org/work/W85451730> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W85451730 abstract "We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an important role. The model can explain the effects of non-standard monetary policies (like quantitative easing or its tapering) and shed light on how central bank policy can affect the value of inflation and interest rates derivatives. The model is built under standard no-arbitrage assumptions. Interestingly, the model yields short rate dynamics that are consistent with a time-varying Hull-White model, therefore making the calibration to the nominal interest curve and options straightforward. Further, we obtain closed forms for both zero-coupon and year-on-year inflation swap and options. The calibration strategy we propose is fully separable, which means that the calibration can be carried out in subsequent simple steps that do not require heavy computation. A market calibration example is provided. The advantages of such structural inflation modelling become apparent when one starts doing risk analysis on an inflation derivatives book: because the model explicitly takes into account economic variables, a trader can easily assess the impact of a change in central bank policy on a complex book of fixed income instruments, which is normally not straightforward if one is using standard inflation pricing models." @default.
- W85451730 created "2016-06-24" @default.
- W85451730 creator A5005254246 @default.
- W85451730 creator A5086948331 @default.
- W85451730 date "2014-07-01" @default.
- W85451730 modified "2023-09-27" @default.
- W85451730 title "Inflation securities valuation with macroeconomic-based no-arbitrage dynamics" @default.
- W85451730 hasPublicationYear "2014" @default.
- W85451730 type Work @default.
- W85451730 sameAs 85451730 @default.
- W85451730 citedByCount "0" @default.
- W85451730 crossrefType "posted-content" @default.
- W85451730 hasAuthorship W85451730A5005254246 @default.
- W85451730 hasAuthorship W85451730A5086948331 @default.
- W85451730 hasConcept C10138342 @default.
- W85451730 hasConcept C106159729 @default.
- W85451730 hasConcept C120310109 @default.
- W85451730 hasConcept C121332964 @default.
- W85451730 hasConcept C126285488 @default.
- W85451730 hasConcept C149782125 @default.
- W85451730 hasConcept C160623529 @default.
- W85451730 hasConcept C162324750 @default.
- W85451730 hasConcept C175025494 @default.
- W85451730 hasConcept C185824701 @default.
- W85451730 hasConcept C186027771 @default.
- W85451730 hasConcept C200941418 @default.
- W85451730 hasConcept C33332235 @default.
- W85451730 hasConcept C489367 @default.
- W85451730 hasConcept C556758197 @default.
- W85451730 hasConcept C69738904 @default.
- W85451730 hasConceptScore W85451730C10138342 @default.
- W85451730 hasConceptScore W85451730C106159729 @default.
- W85451730 hasConceptScore W85451730C120310109 @default.
- W85451730 hasConceptScore W85451730C121332964 @default.
- W85451730 hasConceptScore W85451730C126285488 @default.
- W85451730 hasConceptScore W85451730C149782125 @default.
- W85451730 hasConceptScore W85451730C160623529 @default.
- W85451730 hasConceptScore W85451730C162324750 @default.
- W85451730 hasConceptScore W85451730C175025494 @default.
- W85451730 hasConceptScore W85451730C185824701 @default.
- W85451730 hasConceptScore W85451730C186027771 @default.
- W85451730 hasConceptScore W85451730C200941418 @default.
- W85451730 hasConceptScore W85451730C33332235 @default.
- W85451730 hasConceptScore W85451730C489367 @default.
- W85451730 hasConceptScore W85451730C556758197 @default.
- W85451730 hasConceptScore W85451730C69738904 @default.
- W85451730 hasLocation W854517301 @default.
- W85451730 hasOpenAccess W85451730 @default.
- W85451730 hasPrimaryLocation W854517301 @default.
- W85451730 hasRelatedWork W1495331906 @default.
- W85451730 hasRelatedWork W1525033568 @default.
- W85451730 hasRelatedWork W1553798380 @default.
- W85451730 hasRelatedWork W1595743407 @default.
- W85451730 hasRelatedWork W1980672654 @default.
- W85451730 hasRelatedWork W2065559884 @default.
- W85451730 hasRelatedWork W2127680685 @default.
- W85451730 hasRelatedWork W2143127650 @default.
- W85451730 hasRelatedWork W2144321535 @default.
- W85451730 hasRelatedWork W2221183634 @default.
- W85451730 hasRelatedWork W2239329099 @default.
- W85451730 hasRelatedWork W3021436220 @default.
- W85451730 hasRelatedWork W3122280204 @default.
- W85451730 hasRelatedWork W3122523226 @default.
- W85451730 hasRelatedWork W3123561815 @default.
- W85451730 hasRelatedWork W3124625462 @default.
- W85451730 hasRelatedWork W3124753530 @default.
- W85451730 hasRelatedWork W3125536009 @default.
- W85451730 hasRelatedWork W3152484708 @default.
- W85451730 hasRelatedWork W344926156 @default.
- W85451730 isParatext "false" @default.
- W85451730 isRetracted "false" @default.
- W85451730 magId "85451730" @default.
- W85451730 workType "article" @default.