Title: A rational model for inflation
Authors: David Glavind Skovmand - University of Copenhagen (Denmark) [presenting]
Henrik Dam - University of Copenhagen (Denmark)
David Sloth Pedersen - Danske Bank (Denmark)
Abstract: Stochastic models for interest rates and inflation-linked pricing are considered, which share in common an approach that offers good malleability and facilitates financial understanding while keeping mathematical complexity low. The approach is built on using the so-called rational framework for constructing both the nominal and real term structures. The approach enables analytic expressions for linear and some nonlinear inflation linked derivatives.