论文标题
通货膨胀，欧洲央行和短期利率：一种新模式，对市场数据进行校准
Inflation, ECB and short-term interest rates: A new model, with calibration to market data
论文作者
论文摘要
我们为欧洲通货膨胀率，欧洲中央银行官方利率和短期利率的联合演变提出了一个新的模型，以随机的，连续的时间设定。 我们为或有主张得出估值方程，并表明它具有独特的解决方案。或有索赔的回报可能取决于模型的所有三个经济因素，折现因素被允许包括通货膨胀。 以基准为基准，Ho，H.W。，Huang，H.H。和Yildirim，Y。的模型，通货膨胀指数的衍生品和通货膨胀风险溢价的仿射模型（欧洲运营研究杂志，2014年），我们显示我们的模型在2008年至2015年之间在市场数据上的表现更好。 我们的模型不是仿射模型。尽管在某些特殊情况下，评估方程的解决方案可能会允许封闭形式，但总的来说，它必须通过数值解决。这可以通过我们提供的算法有效地完成。我们的模型使用的参数比基准模型少得多，该参数部分补偿了数值程序的更高复杂性，并且还表明我们的模型更仔细地描述了经济因素的行为。
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for a contingent claim and show that it has a unique solution. The contingent claim payoff may depend on all three economic factors of the model and the discount factor is allowed to include inflation. Taking as a benchmark the model of Ho, H.W., Huang, H.H. and Yildirim, Y., Affine model of inflation-indexed derivatives and inflation risk premium, (European Journal of Operational Researc, 2014), we show that our model performs better on market data from 2008 to 2015. Our model is not an affine model. Although in some special cases the solution of the valuation equation might admit a closed form, in general it has to be solved numerically. This can be done efficiently by the algorithm that we provide. Our model uses many fewer parameters than the benchmark model, which partly compensates the higher complexity of the numerical procedure and also suggests that our model describes the behaviour of the economic factors more closely.
