Inflation-Linked Bonds and Derivatives

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.

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).