A quadratic Gaussian year-on-year inflation model
We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic Gaussian Year-on-Year inflation model—the QGY model. We directly define the model in terms of a year-on-year ratio of the inflation index on a discrete tenor structure, which, along with...
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Imperial College London
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.572250 |