SIAM Journal on Financial Mathematics, Volume 11, Issue 4, Page 974-1006, January 2020.
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that allows for closed-form pricing of vanilla inflation products suchlike zero-coupon swaps, year-on-year swaps, caps and floors, and the exotic limited-price-index swap. We study the conditions necessary for the multiplicative nominal pricing kernel to give rise to short rate models for the nominal interest rate process. The proposed class of pricing kernel models retains the attractive features of a nominal multicurve interest rate model, such as closed-form pricing of nominal swaptions, and it isolates the so-called inflation convexity-adjustment term arising from the covariance between the underlying stochastic drivers. We conclude with examples of how the model can be calibrated to EUR data.

中文翻译：

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通货膨胀衍生品的理性模型

SIAM金融数学杂志，第11卷，第4期，第974-1006页，2020年1月。
我们构建通胀挂钩衍生产品的定价和风险管理模型。从某种意义上说，这些模型是理性的，因为在消费者物价指数上写的线性收益具有的价格是状态变量的有理函数。名义定价内核是以乘法方式构造的，可以对零通货掉期，按年掉期，上限和下限以及奇特的有限价格指数掉期等香草通胀产品进行封闭式定价。我们研究了可乘标称定价内核产生标称利率过程的短期利率模型的必要条件。拟议的定价内核模型类别保留了名义多曲线利率模型的吸引人的功能，例如名义互换的封闭式定价，并且它隔离了由潜在随机驱动因素之间的协方差引起的所谓的通货膨胀凸度调整项。我们以示例为例，说明如何将模型校准为EUR数据。