Brief communication - Valuing Tips bond futures with the Jarrow-Yildirim model - The authors apply the Jarrow-Yildirim model to derive a closed-form solution for Treasury inflation-protected securities (Tips) futures. With the issuance of inflation-protected bonds and the impact of inflation on financial markets, Tips bond futures are expected to be issued to hedge the market risk of Tips bonds. ...
| Year of publication: |
2008
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| Authors: | Huang, Hongming ; Yildirim, Yildiray |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 6, p. 101-103
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