January 2023
Intermediate to advanced
129 pages
3h 35m
English
Content preview from Inflation-Linked Bonds and Derivatives
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Chapter 7 Inflation Options
Capturing the market’s view on the range of inflation outcomes is easier said than done. Inflation options have become a popular tool to assess overshooting risks as they capture changes across the entire probability distributions of future euro and US dollar inflation. We dissect the underlying maths, add qualitative factors and show that not all tails are alike. While inflation options provide a robust picture of deflation sentiment, implied expectations on overshooting should not be taken at face value in view of model and liquidity limitations. We assess alternative measures and the implications for investors, issuers and policy makers.
Inflation and Inflation Risks – Why are They Relevant?
Inflation has rarely ...
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