通货膨胀率衍生品：从市场模型到外汇模拟
Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy
摘要：
本文基于名义和实际零息债券的风险中性动态，建立了远期通货膨胀率期限结构的市场模型。在市场模型下，我们可以用一个类似于布莱克公式的公式对通货膨胀胶囊和通货膨胀互换进行定价，从而证明当前的市场行为是合理的。我们演示了如何进一步扩展市场模型，以应付波动率微笑。在此基础上，我们建立了基于套利理论的真实零息债券波动性的一致性条件，并基于“外币类比”理论重新推导了Jarrow and Yildirim（2003）的真实远期利率模型，从而将两种建模范式联系起来。
英文摘要：
In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as inflation swaptions with a formula similar to the Black's formula, thus justify the current market practice. We demonstrate how to further extend the market model to cope with volatility smiles. Moreover, we establish a consistency condition on the volatility of real zero-coupon bonds using arbitrage arguments, and with that re-derive the model of Jarrow and Yildirim (2003) with real forward rates based on "foreign currency analogy", and thus interconnect the two modeling paradigms.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
