Inflation-Linked Bonds and Derivatives: Investing, hedging and valuation principles for practitioners

Jessica James; Michael Leister; Christoph Rieger

Published by De Gruyter 2023

Inflation-Linked Bonds and Derivatives

Investing, hedging and valuation principles for practitioners

Jessica James , Michael Leister and Christoph Rieger

In the series The Moorad Choudhry Global Banking Series

https://doi.org/10.1515/9783110787429

Overview
Contents

About this book

Disruptions in supply chains and consumption patterns triggered by the pandemic together with stimulus packages and the energy crisis have catapulted inflation rates to levels last seen in the 1970s. For inflation markets, it’s hard to understate this sudden and enormous change in fortunes. Understanding the future evolution of consumer prices has become crucial for investors across all asset classes as central banks tailor their policy responses with a view to anchoring inflation expectations.

Inflation-Linked Bonds and Derivatives condenses more than 15 years of dedicated coverage of inflation markets. It provides investors, issuers and policy makers with all the relevant tools to navigate inflation markets, starting with the nuts and bolts of consumer price indices, forwards, carry and trading strategies, to advanced topics like seasonality adjustments and the use of inflation options.

With its many illustrative graphs and tabulated data, this exceptional book will benefit traders, corporate treasury departments, fixed income investors, insurance companies and pension funds executives.

Author / Editor information

Jessica James is a senior quantitative researcher at Commerzbank in London, and previously was head of the Quantitative Solutions Group. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as global head of the Quantitative Investor Solutions Group. Prior to this, she was the head of the Risk Advisory and Currency Overlay Team for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. She holds a BSc in physics from Manchester University and a D. Phil. in atomic and nuclear physics from Oxford University.

Her significant publications include the Handbook of Exchange Rates (Wiley), Interest Rate Modelling (Wiley), and 'Currency Management' (Risk Books). Her latest book FX Option Performance came out in 2015. She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products.

Jessica is a visiting professor both at University College London and at Cass Business School. She is a managing editor for Quantitative Finance. Apart from her financial appointments, she is a fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.

Christoph Rieger is heading the Rates & Credit Research at Commerzbank. Together with his research teams, he covers the full range of fixed income products, from money markets, government bonds and SSAs to covered bonds, financials and corporates, developing big-picture themes alongside commercial trading and funding strategies.

Prior to this role, Christoph was Head of Rates Strategy at Commerzbank and he worked as senior interest rate strategist at Dresdner Kleinwort with a specific focus on money markets and interest rate derivatives. Before joining Dresdner Kleinwort in 2004, Christoph held various positions in fixed income research, starting in 1998 at Commerzbank as a government bond analyst before moving to London in 2001, where his main focus was on interest rate strategies using derivatives. His academic background is rooted in economics, in which he holds two degrees: an MA from Temple University (Fulbright Scholarship in Philadelphia, PA) and a diploma from the University of Cologne (Germany). Christoph is a member of the ECB Bond Market Contact Group.

Michael Leister is responsible for interest rate strategy at Commerzbank. His research team of four analysts covers the full range of liquid and structured rates products for the major currencies, in cash as well as in derivatives space.

Michael joined Commerzbank London in 2012 with a focus on € rates and global inflation markets, after working as Interest Rate Strategist for WestLB in Düsseldorf and London with a focus on government bonds.

He holds a masters degree in economics from the University of Mannheim and has been awarded the CFA charter in 2012. Beyond financial markets he is a frequent participant in city and mountain marathons (PB 2:47).

Reviews

"A very useful reference guide for newcomers and experts to a market segment that is gaining attention as the return of inflation is a challenge for investors. The focus on market-relevant concepts and practical applications is a key feature of this very contemporary treatise."
Oliver Eichmann, CFA, Head of Rates, Fixed Income EMEA, DWS

Topics

Frontmatter Publicly Available Download PDF	I
Contents Publicly Available Download PDF	V
Foreword Publicly Available Download PDF	VII
Introduction Publicly Available Download PDF	IX
Chapter 1 Inflation Indices Requires Authentication Unlicensed Licensed Download PDF	1
Chapter 2 The CPI Linkage, the Concept of Break-even Inflation and the Deflation Floor Requires Authentication Unlicensed Licensed Download PDF	16
Chapter 3 Inflation-linked Products and Curves Requires Authentication Unlicensed Licensed Download PDF	25
Chapter 4 Forwards, Carry and Trading Strategies Requires Authentication Unlicensed Licensed Download PDF	44
Chapter 5 Inflation Expectations, Seasonality and Base Effects Requires Authentication Unlicensed Licensed Download PDF	52
Chapter 6 Risk Measures and Risk Premia Requires Authentication Unlicensed Licensed Download PDF	70
Chapter 7 Inflation Options Requires Authentication Unlicensed Licensed Download PDF	84
Bibliography Requires Authentication Unlicensed Licensed Download PDF	103
List of Abbreviations Requires Authentication Unlicensed Licensed Download PDF	105
List of Figures Requires Authentication Unlicensed Licensed Download PDF	107
List of Tables Requires Authentication Unlicensed Licensed Download PDF	111
About the Authors Requires Authentication Unlicensed Licensed Download PDF	113
About the Series Editor Requires Authentication Unlicensed Licensed Download PDF	115
Index Requires Authentication Unlicensed Licensed Download PDF	117

(Deutsch)

Language: English
Publisher: De Gruyter
Audience: Traders, corporate treasury departments, fixed income investors, insurance companies and pension funds.
Pages
- Front matter: 11
- Main content: 118
Illustrations
- Illustrations: 76
- Coloured Illustrations: 1
- Tables: 4
Keywords: Inflation Products; Inflation Swaps; Inflation Options; Inflation Forecast; Inflation-linked Bonds

eBook

Published: January 30, 2023
ISBN: 9783110787429

Hardcover

Published: January 30, 2023
ISBN: 9783110787375