Inflation expectation calibration in an arbitrage-free model

Die Master-Thesis analysiert den Britische Gilts Markt mit AFDNS Modell. Vier unbekannte Faktoren sind in unserem Modell eingeschlossen. Mit "Kalman Filter" sind das gemeinsame Modellieren der nominalen und Inflation-bereinigten Renditen optimiziert.This thesis completes a joint estimation of U.K. Gilts market using an Arbitrage-Free dynamic Nelson-Siegel (AFDNS) model with four latent factors. The joint modelling of nominal and inflation-indexed yield curves are optimized through the use of Kalman filtering technique. The estimates of inflation expectations are obtained by subtracting inflation risk premiums from the differences between yields on comparable-maturity nominal and real bonds, the so called break-even inflation (BEI) rates