通货膨胀挂钩衍生品的理性模型
Rational Models for Inflation-Linked Derivatives
摘要：
我们构建了通胀挂钩衍生品的定价和风险管理模型。该模型是理性的，在这个意义上，线性回报写在消费者价格指数的价格是理性的函数的状态变量。名义定价核是以乘法的方式构建的，它允许对零息掉期、同比掉期、上限和下限以及奇异的有限价格指数掉期等普通通胀产品进行封闭式定价。我们研究了乘性名义定价核产生短期利率模型的名义利率过程的必要条件。所提出的一类定价核模型保留了名义多曲线利率模型的吸引人的特征，例如名义互换的封闭形式定价，并且它隔离了所谓的通货膨胀凸性调整项，该项来自基础随机驱动因素之间的协方差。最后，我们举例说明如何根据欧元数据校准模型。
英文摘要：
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that allows for closed-form pricing of vanilla inflation products suchlike zero-coupon swaps, year-on-year swaps, caps and floors, and the exotic limited-price-index swap. We study the conditions necessary for the multiplicative nominal pricing kernel to give rise to short rate models for the nominal interest rate process. The proposed class of pricing kernel models retains the attractive features of a nominal multi-curve interest rate model, such as closed-form pricing of nominal swaptions, and it isolates the so-called inflation convexity-adjustment term arising from the covariance between the underlying stochastic drivers. We conclude with examples of how the model can be calibrated to EUR data.
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。
