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

A.I. Square Connect; LAMSADE- Paris Dauphine University

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)

A.I. Square Connect ( email )

35 Boulevard d'Inkermann
Neuilly sur Seine, 92200
France

LAMSADE- Paris Dauphine University ( email )

Place du Marechal de Lattre de Tassigny
Pais, 75016
France

HOME PAGE: http://https://www.lamsade.dauphine.fr/

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