CUTTING EDGE - Brief communication - Valuing Inflation futures contracts - In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price index (CPI) level at two different times) have been introduced. Working within the Jarrow & Yildirim (2003) model, the author-derives formulas for the theoretical values of these futures contracts in terms of the ...
| Year of publication: |
2007
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| Authors: | Crosby, John |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 3, p. 88-91
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