Inflation - Quadratic Gaussian inflation - Quadratic Gaussian models are particularly amenable to analytic solutions, and so have become popular for rates modelling. Here the authors extend the approach to inflation, and show that realistic smile and convexity corrections can be obtained.
| Year of publication: |
2012
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|---|---|
| Authors: | Trovato, Manlio ; Ribeiro, Diana ; Gretarsson, Hringur |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 25.2012, 9, p. 86-92
|