英文标题：
《The affine inflation market models》
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作者：
Stefan Waldenberger
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最新提交年份：
2015
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英文摘要：
  Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models extend this approach to inflation markets, where zero-coupon and year-on-year inflation-indexed swaps are the basic observable products. For inflation market models considered so far closed formulas exist for only one type of swap, but not for both. The model in this paper uses affine processes in such a way that prices for both types of swaps can be calculated explicitly. Furthermore call and put options on both types of swap rates can be calculated using one-dimensional Fourier inversion formulas. Using the derived formulas we present an example calibration to market data.
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中文摘要：
利率市场模型，如伦敦银行同业拆借利率市场模型，有一个优势，即基本模型数量在金融市场中可以直接观察到。通货膨胀市场模型将这种方法扩展到通货膨胀市场，零息票和同比通货膨胀指数掉期是基本的可观察产品。对于迄今为止考虑的通货膨胀市场模型，封闭式公式仅适用于一种掉期，但不适用于两种掉期。本文中的模型使用仿射过程，这样两种类型的掉期价格都可以显式计算。此外，这两种掉期利率上的看涨期权和看跌期权都可以使用一维傅立叶反演公式计算。利用导出的公式，我们给出了一个校准市场数据的示例。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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