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
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: Suggested Citation