Ernesto Palidda

Crédit Agricole Corporate and Investment Bank - Credit Agricole Asset Management

9, quai du Président Paul Doumer

92920 Paris La Défense Cedex, 75015

France

SCHOLARLY PAPERS

2

DOWNLOADS

278

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (2)

1.

Swapping from Headline to Core Inflation and Commodity Hedging

Insurance Risk - Risk, Oct. 2014, European Business Research Conference Proceedings - Rome IT, 2012, Southwestern Finance Association 2013 Annual Meeting Paper - Albuquerque NM, 2013, AIDEA 2013 Banking & Finance Annual Conference Paper - Lecce IT, 2013
Number of pages: 34 Posted: 08 Aug 2012 Last Revised: 19 Oct 2014
Nicolas Fulli-Lemaire and Ernesto Palidda
Oliver Wyman SA and Crédit Agricole Corporate and Investment Bank - Credit Agricole Asset Management
Downloads 144 (206,641)
Citation 3

Abstract:

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ALM, LDI, Long-term Investment, Inflation Hedging, Core Inflation, Commodities, Inflation Pass-through, Arbitrage Pricing, Synthetic Futures, Inflation Derivative, Monte-Carlo

2.

Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets

Amundi-Dauphine Chair 2013 Asset Management Workshop Paper, Journal of Alternative Investments, Vol. 18, No. 3, 2016
Number of pages: 24 Posted: 09 Sep 2013 Last Revised: 09 Feb 2016
Nicolas Fulli-Lemaire and Ernesto Palidda
Oliver Wyman SA and Crédit Agricole Corporate and Investment Bank - Credit Agricole Asset Management
Downloads 134 (218,959)
Citation 1

Abstract:

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Inflation, Core Inflation, Commodity Futures, Oil Futures, Breakeven Inflation Rates, Cross-Hedging, Inflation Pass-Through, Multi-dimensional Gaussian Model, Signal Processing, Kalman Filter, Equilibrium Pricing, Schwartz-Smith Model