Rational Kernel on Pricing Models of Inflation Derivatives
The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond, inflation-indexed bond, swap. In the second chapter of the thesis, classic models along the history of developing quantified interest rate models are introduced and analyzed. Moreover, the classification of interest rate models is introduced to help audiences understand the intrinsic ideology behind each type of models. In the third chapter of the thesis, the related mathematical knowledge is introduced. This part has the contribution on understanding the terms and relation among terms in each model introduced previously. In the fourth part of the thesis, the renovation of HJM frame work is introduced and analysis has been initiated.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Rational Models for Inflation-Linked Derivatives
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational function…
ManagementConsistent Valuation Across Curves Using Pricing Kernels
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinc…
Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move beyond the class of convex risk measures …
Deep Reinforcement LearningERPTranslationImpact of Price Inflation on Algorithmic Collusion Through Reinforcement Learning Agents
Algorithmic pricing is increasingly shaping market competition, raising concerns about its potential to compromise competitive dynamics. While prior work has shown that reinforcement learning (RL)-based pricing algorithm…
Reinforcement Learning (RL)Inflation, ECB and short-term interest rates: A new model, with calibration to market data
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the va…