Nabyl Belgrade

CDC Ixis Capital Markets

47 quai d'Austerlitz

Paris, 75013

France

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 2,910

SSRN RANKINGS

Top 2,910

in Total Papers Downloads

12,099

CITATIONS
Rank 26,955

SSRN RANKINGS

Top 26,955

in Total Papers Citations

9

Scholarly Papers (5)

1.

A Market Model for Inflation

Number of pages: 15 Posted: 17 Aug 2004
Nabyl Belgrade, Eric Benhamou and Etienne Koehler
CDC Ixis Capital Markets, A.I. Square Connect and CNCE
Downloads 4,930 (1,478)
Citation 7

Abstract:

Loading...

Inflation index, forward, zero-coupon, year-on-year, volatility cube, convexity adjustment

2.

Reconciling Year on Year and Zero Coupon Inflation Swap: A Market Model Approach

Number of pages: 7 Posted: 01 Sep 2004 Last Revised: 10 Dec 2007
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and A.I. Square Connect
Downloads 2,782 (3,991)
Citation 2

Abstract:

Loading...

Inflation derivatives, year on year, zero coupon swap, CPI, convexity correction

3.

Impact of Seasonality in Inflation Derivatives Pricing

CDC Ixis Quantitative Research Working Paper No. QRFI 08-04/2
Number of pages: 6 Posted: 01 Sep 2004
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and A.I. Square Connect
Downloads 2,443 (4,954)

Abstract:

Loading...

Inflation, seasonality, decomposition scheme, trend

4.

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

Risk Magazine, Inflation Risk, July 2004 Supplement
Number of pages: 3 Posted: 17 Aug 2004 Last Revised: 10 Dec 2007
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and A.I. Square Connect
Downloads 1,944 (7,315)

Abstract:

Loading...

inflation derivatives, seasonality

5.

Valuation of Inflation Swap Volatility Under a Market Model and Pricing of Real Yield Options

Posted: 18 Oct 2004
Nabyl Belgrade, Eric Benhamou and Yosr Khlif
CDC Ixis Capital Markets, A.I. Square Connect and CDC Ixis Capital Markets

Abstract:

Loading...

Inflation swaption, year-on-year volatility, implied volatility, correlation, real yield option