具有相关性和偏斜性的通货膨胀模型

Orcan Ogetbil, Bernhard Hientzsch
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引用次数: 0

摘要

我们建立了一个具有多因子波动结构的远期通货膨胀指数模型,其参数形式允许校准市场上观察到的不同期限指数之间的相关性。假设名义利率遵循单因子高斯短期利率模型,我们给出了零息和同比掉期、上限和下限的分析价格。同样的方法也适用于任何可以计算零息债券价格并衡量变动的利率模型。我们用杠杆函数扩展了多因子模型,用单一过程捕捉整个市场波动偏斜。在我们进一步提出的简化模型中,可以避免该模型耗时的校准步骤。我们用市场数据演示了杠杆模型和简化模型。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Inflation Models with Correlation and Skew
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal interest rate follows a single factor Gaussian short rate model, we present analytical prices for zero-coupon and year-on-year swaps, caps, and floors. The same method applies to any interest rate model for which one can compute the zero-coupon bond prices and measure shifts. We extend the multi-factor model with leverage functions to capture the entire market volatility skew with a single process. The time-consuming calibration step of this model can be avoided in the simplified model that we further propose. We demonstrate the leveraged and the simplified models with market data.
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