基于宏观经济的无套利通货膨胀证券估值

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英文标题：
《Inflation securities valuation with macroeconomic-based no-arbitrage
  dynamics》
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作者：
Gabriele Sarais and Damiano Brigo
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最新提交年份：
2014
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英文摘要：
  We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an important role. The model can explain the effects of non-standard monetary policies (like quantitative easing or its tapering) and shed light on how central bank policy can affect the value of inflation and interest rates derivatives.   The model is built under standard no-arbitrage assumptions. Interestingly, the model yields short rate dynamics that are consistent with a time-varying Hull-White model, therefore making the calibration to the nominal interest curve and options straightforward. Further, we obtain closed forms for both zero-coupon and year-on-year inflation swap and options. The calibration strategy we propose is fully separable, which means that the calibration can be carried out in subsequent simple steps that do not require heavy computation. A market calibration example is provided.   The advantages of such structural inflation modelling become apparent when one starts doing risk analysis on an inflation derivatives book: because the model explicitly takes into account economic variables, a trader can easily assess the impact of a change in central bank policy on a complex book of fixed income instruments, which is normally not straightforward if one is using standard inflation pricing models.
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中文摘要：
我们开发了一个使用连续时间动力学对通胀和利率衍生品进行定价的模型，该模型与配备泰勒规则的宏观经济货币DSGE模型有一定联系：特别是，央行的反应函数、债券市场流动性、通胀和增长预期发挥着重要作用。该模型可以解释非标准货币政策（如量化宽松或其逐渐减少）的影响，并揭示央行政策如何影响通胀和利率衍生品的价值。该模型是在标准无套利假设下建立的。有趣的是，该模型产生的短期利率动态与时变的赫尔-怀特模型一致，因此可以直接校准名义利率曲线和期权。此外，我们获得了零息票和同比通货膨胀掉期和期权的封闭形式。我们提出的校准策略是完全可分离的，这意味着校准可以在随后的简单步骤中进行，而不需要大量计算。提供了一个市场校准示例。当人们开始对通胀衍生工具账簿进行风险分析时，这种结构性通胀模型的优势就显而易见了：由于该模型明确考虑了经济变量，交易员可以轻松评估央行政策变化对复杂的固定收益工具账簿的影响，如果使用标准通货膨胀定价模型，这通常并不简单。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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关键词：宏观经济 证券估值 通货膨胀 无套利 Quantitative