Tackling Inflation Derivatives: Markets, Products, Pricing and Risk
Venue: Het Pand
Event Date/Time: Oct 14, 2010
End Date/Time: Oct 15, 2010
The market for inflation derivatives and other inflation-linked securities has grown rapidly during recent years. Our program covers the mechanics of the instruments, their valuation and how they can be used to take or hedge inflation exposure alone or embedded in other structures. In this workshop we will consider the key aspects of inflation markets and various ways of modelling inflation instruments. Both static curve-building as well as dynamic models for the inflation term structure will be discussed. The workshop will be supported by a substantial number of practical exercises.