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

Risk Magazine, Inflation Risk, July 2004 Supplement

3 Pages Posted: 17 Aug 2004 Last revised: 10 Dec 2007

Nabyl Belgrade

CDC Ixis Capital Markets

Eric Benhamou

Université Paris Est - Université Paris Est-Creteil

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.

Keywords: inflation derivatives, seasonality

JEL Classification: G12, G31, M21

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: https://ssrn.com/abstract=577362

Nabyl Belgrade

CDC Ixis Capital Markets ( email )

47 quai d'Austerlitz
Paris, 75013
France
0033 (0)158551556 (Phone)

Eric Benhamou (Contact Author)

Université Paris Est - Université Paris Est-Creteil ( email )

61 avenue du Général de Gaulle
Créteil, 940000
France

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