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Title: Real rate swaption and zero coupon inflation index swaption

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.

DOI: 10.1504/IJBD.2017.083950

International Journal of Bonds and Derivatives, 2017 Vol.3 No.1, pp.21 - 43

Available online: 21 Apr 2017 *

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