Joint Calibration of Year-on-Year and Zero-Coupon Products for Inflation Models
(2016) FMS820 20162Mathematical Statistics
- Abstract
- In this thesis, we study the Jarrow and Yildirim framework for inflation modeling and provide a
new specification based on spread modeling which allows to calibrate the model to Zero-Coupons
and Year-on-Year options jointly with convexity adjustments. We use this model to provide closedform
formulas for options volatilities, convexity adjustments and Year-on-Year swaptions prices.
Calibration results are provided.
We also present Belgrade et al.’s model and show an example of its calibration to market data.
Finally, we present an HJM version of the SABR inflation model proposed by Mercurio and propose
a calibration routine allowing to retrieve both Year-on-Year and Zero-Coupon smiles to all
maturities as well as convexity... (More) - In this thesis, we study the Jarrow and Yildirim framework for inflation modeling and provide a
new specification based on spread modeling which allows to calibrate the model to Zero-Coupons
and Year-on-Year options jointly with convexity adjustments. We use this model to provide closedform
formulas for options volatilities, convexity adjustments and Year-on-Year swaptions prices.
Calibration results are provided.
We also present Belgrade et al.’s model and show an example of its calibration to market data.
Finally, we present an HJM version of the SABR inflation model proposed by Mercurio and propose
a calibration routine allowing to retrieve both Year-on-Year and Zero-Coupon smiles to all
maturities as well as convexity adjustment. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8895062
- author
- Bailly, Stéphane
- supervisor
- organization
- course
- FMS820 20162
- year
- 2016
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 8895062
- date added to LUP
- 2016-11-16 11:04:40
- date last changed
- 2016-11-24 09:53:33
@misc{8895062, abstract = {{In this thesis, we study the Jarrow and Yildirim framework for inflation modeling and provide a new specification based on spread modeling which allows to calibrate the model to Zero-Coupons and Year-on-Year options jointly with convexity adjustments. We use this model to provide closedform formulas for options volatilities, convexity adjustments and Year-on-Year swaptions prices. Calibration results are provided. We also present Belgrade et al.’s model and show an example of its calibration to market data. Finally, we present an HJM version of the SABR inflation model proposed by Mercurio and propose a calibration routine allowing to retrieve both Year-on-Year and Zero-Coupon smiles to all maturities as well as convexity adjustment.}}, author = {{Bailly, Stéphane}}, language = {{eng}}, note = {{Student Paper}}, title = {{Joint Calibration of Year-on-Year and Zero-Coupon Products for Inflation Models}}, year = {{2016}}, }