Smart Modeling of the Inflation Market: Taking into Account the Seasonality
CDC Ixis Capital Markets
Risk Magazine, Inflation Risk, July 2004 Supplement
This paper underlines the strong seasonality effect of the inflation market and shows how to include it in the pricing of inflation-linked products.
Number of Pages in PDF File: 3
Keywords: inflation derivatives, seasonality
JEL Classification: G12, G31, M21Accepted Paper Series
Date posted: August 17, 2004 ; Last revised: December 10, 2007
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