Nabyl Belgrade

CDC Ixis Capital Markets

47 quai d'Austerlitz

Paris, 75013

France

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 2,152

in Total Papers Downloads

20,086

SSRN CITATIONS

0

CROSSREF CITATIONS

11

Scholarly Papers (5)

1.

A Market Model for Inflation

Number of pages: 15 Posted: 17 Aug 2004
Nabyl Belgrade, Eric Benhamou and Etienne Koehler
CDC Ixis Capital Markets, Université Paris Dauphine and CNCE
Downloads 7,466 (1,075)
Citation 13

Abstract:

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Inflation index, forward, zero-coupon, year-on-year, volatility cube, convexity adjustment

2.

Reconciling Year on Year and Zero Coupon Inflation Swap: A Market Model Approach

Number of pages: 7 Posted: 01 Sep 2004 Last Revised: 10 Dec 2007
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and Université Paris Dauphine
Downloads 5,076 (2,076)
Citation 4

Abstract:

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Inflation derivatives, year on year, zero coupon swap, CPI, convexity correction

3.

Impact of Seasonality in Inflation Derivatives Pricing

CDC Ixis Quantitative Research Working Paper No. QRFI 08-04/2
Number of pages: 6 Posted: 01 Sep 2004
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and Université Paris Dauphine
Downloads 4,188 (2,919)

Abstract:

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Inflation, seasonality, decomposition scheme, trend

4.

Smart Modeling of the Inflation Market: Taking into Account the Seasonality

Risk Magazine, Inflation Risk, July 2004 Supplement
Number of pages: 3 Posted: 17 Aug 2004 Last Revised: 10 Dec 2007
Nabyl Belgrade and Eric Benhamou
CDC Ixis Capital Markets and Université Paris Dauphine
Downloads 3,356 (4,270)

Abstract:

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inflation derivatives, seasonality

5.

Valuation of Inflation Swap Volatility Under a Market Model and Pricing of Real Yield Options

Posted: 18 Oct 2004
Nabyl Belgrade, Eric Benhamou and Yosr Khlif
CDC Ixis Capital Markets, Université Paris Dauphine and CDC Ixis Capital Markets

Abstract:

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Inflation swaption, year-on-year volatility, implied volatility, correlation, real yield option