Inflation - Inflation modelling with SABR dynamics - The authors introduce a new forward Consumer Price Index model that is based on a multi-factor volatility structure and leads to SABR-like dynamics for forward inflation rates. Their approach reconciles zero-coupon and year-on-year quotes, giving both fast and accurate calibration to market options data. Explicit formulas for year-on-year caps ...
| Year of publication: |
2009
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|---|---|
| Authors: | Mercurio, Fabio ; Moreni, Nicola |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 6, p. 98-103
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