Pricing inflation products with stochastic volatility and stochastic interest rates

MARC record
LDR  00000cab a2200000 4500
001  MAP20130024318
003  MAP
005  20130829115018.0
008  130731e20130304esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
24500‎$a‎Pricing inflation products with stochastic volatility and stochastic interest rates‎$c‎Stefan N. Singor...[]
520  ‎$a‎We consider a Heston type inflation model in combination with a HullWhite model for nominal and real interest rates, in which all the correlations can be non-zero. Due to the presence of the Heston dynamics our derived inflation model is able to capture the implied volatility skew/smile, which is present in the inflation option market data. We derive an efficient approximate semi-closed pricing formula for two types of inflation dependent options: index and year-on-year inflation options. The derived pricing formulas allow for an efficient calibration of the inflation model. We also illustrate our approach using a real-life pension fund example, where the Heston HullWhite model is used to determine the value of conditional future indexations.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎04/03/2013 Volumen 52 Número 2 - marzo 2013
856  ‎$y‎MÁS INFORMACIÓN‎$u‎