Modellierung von Inflation
Lars Kjaergaard modelliert Inflation mit einer dreifaktoriellen Gauß-Methode. Sie ergibt eine einfache Beschreibung von Derivaten, die an Inflation und Zinssätze gebunden sind, und erlaubt eine schnelle Bewertung. Dann zeigt der Autor, wie das Modell kalibriert wird
In den letzten Jahren hat das Interesse an inflationsgebundenen Produkten zugenommen. Das gilt sowohl auf Seiten der Investoren, die Inflation als unabhängige Anlageklasse betrachten, als auch auf der passivischen Seite, wo zunehmend an der Bestimmung und Absicherung von Inflationsrisiken gearbeitet wird.
Der Begriff Inflation bezeichnet die Änderung des Preises eines festen Korbs von Waren oder Dienstleistungen. Inflation wird anhand eines Index I(t) beschrieben, wobei meist der
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