Authors: Christian Kamtchueng
Addresses: CTK Corp., London, UK; ESSEC, Paris, France
Abstract: Inflation products have been developed in the mid '90s. Over the past decade, the market has increased in size and volume. After the credit crunch and the fear of recession, investors have been very pushy for inflation linked derivatives, the major buyer being pension funds. Some interests have been expressed for real rate pure exposure. We will describe a methodology for the pricing of real rate swaption under LMM SABR.
Keywords: inflation; derivatives; real rate; inflation swaption.
International Journal of Bonds and Derivatives, 2017 Vol.3 No.1, pp.21 - 43
Received: 25 Jan 2016
Accepted: 27 Feb 2016
Published online: 21 Apr 2017 *