A few years ago I came up with a useful improvement to the Jarrow-Yilidirm inflation model: let’s diffuse the inflation curve rather than the real-yield curve.
It turns out that this gives the modern inflation derivatives trader a much better risk management tool.
In the attached paper I give the details. I wrote it up back in 2013 and never got around to publishing it. It happens that I was talking to someone about this just the other day and it occurred to me that I should get it out there. Enjoy!
Fermat's Last Spreadsheet 