Numerix Bows Market Inflation Pricing

Derivatives pricing and valuation analytics provider Numerix released a new market model for pricing inflation-linked derivatives earlier this month, to enable traders to more accurately model inflation derivatives that have traditionally been less liquid by incorporating two types of stochastic volatility modeling.

The new pricing model incorporates a “classic” inflation pricing model that simulates forward rates, and also includes two flavors of stochastic volatility—Heston and SABR—which allo