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Smart Modeling of the Inflation Market: Taking into Account the Seasonality


Nabyl Belgrade


CDC Ixis Capital Markets

Eric Benhamou


Pricing Partners

Risk Magazine, Inflation Risk, July 2004 Supplement

Abstract:     
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, M21

Accepted Paper Series


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Date posted: August 17, 2004 ; Last revised: December 10, 2007

Suggested Citation

Belgrade, Nabyl and Benhamou, Eric, Smart Modeling of the Inflation Market: Taking into Account the Seasonality. Risk Magazine, Inflation Risk, July 2004 Supplement. Available at SSRN: http://ssrn.com/abstract=577362

Contact Information

Nabyl Belgrade
CDC Ixis Capital Markets ( email )
47 quai d'Austerlitz
Paris, 75013
France
0033 (0)158551556 (Phone)
Eric Benhamou (Contact Author)
Pricing Partners ( email )
Paris Cybervillage
204 Rue de crimée
Paris, 75019
France
Feedback to SSRN (Beta)


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