{"title":"具有相关性和偏斜性的通货膨胀模型","authors":"Orcan Ogetbil, Bernhard Hientzsch","doi":"arxiv-2405.05101","DOIUrl":null,"url":null,"abstract":"We formulate a forward inflation index model with multi-factor volatility\nstructure featuring a parametric form that allows calibration to correlations\nbetween indices of different tenors observed in the market. Assuming the\nnominal interest rate follows a single factor Gaussian short rate model, we\npresent analytical prices for zero-coupon and year-on-year swaps, caps, and\nfloors. The same method applies to any interest rate model for which one can\ncompute the zero-coupon bond prices and measure shifts. We extend the\nmulti-factor model with leverage functions to capture the entire market\nvolatility skew with a single process. The time-consuming calibration step of\nthis model can be avoided in the simplified model that we further propose. We\ndemonstrate the leveraged and the simplified models with market data.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"48 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Inflation Models with Correlation and Skew\",\"authors\":\"Orcan Ogetbil, Bernhard Hientzsch\",\"doi\":\"arxiv-2405.05101\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We formulate a forward inflation index model with multi-factor volatility\\nstructure featuring a parametric form that allows calibration to correlations\\nbetween indices of different tenors observed in the market. Assuming the\\nnominal interest rate follows a single factor Gaussian short rate model, we\\npresent analytical prices for zero-coupon and year-on-year swaps, caps, and\\nfloors. The same method applies to any interest rate model for which one can\\ncompute the zero-coupon bond prices and measure shifts. We extend the\\nmulti-factor model with leverage functions to capture the entire market\\nvolatility skew with a single process. The time-consuming calibration step of\\nthis model can be avoided in the simplified model that we further propose. We\\ndemonstrate the leveraged and the simplified models with market data.\",\"PeriodicalId\":501084,\"journal\":{\"name\":\"arXiv - QuantFin - Mathematical Finance\",\"volume\":\"48 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-05-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Mathematical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2405.05101\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2405.05101","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.